Sequential Monte Carlo with Highly Informative Observations

Article, Preprint English OPEN
Del Moral , Pierre; Murray , Lawrence M.;
  • Publisher: ASA, American Statistical Association
  • Related identifiers: doi: 10.1137/15M1011214
  • Subject: [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | Statistics - Applications | Statistics - Computation | [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]

We propose sequential Monte Carlo (SMC) methods for sampling the posterior distribution of state-space models under highly informative observation regimes, a situation in which standard SMC methods can perform poorly. A special case is simulating bridges between given i... View more
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