Marginalized approximate filtering of state-space models

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F18%3A00478074" target="_blank" >RIV/67985556:_____/18:00478074 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1002/acs.2821" target="_blank" >http://dx.doi.org/10.1002/acs.2821</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1002/acs.2821" target="_blank" >10.1002/acs.2821</a>

Result language

angličtina

Original language name

Marginalized approximate filtering of state-space models

Original language description

The marginalized particle filtering (MPF) is a powerful technique reducing the number of particles necessary to effectively estimate hidden states of state-space models. This paper alleviates the assumption of a fully known and computationally tractable observation model. Exploiting the recent developments in the theory of approximate Bayesian computation (ABC) filtration, an ABC counterpart of MPF is proposed, applicable when the observation model is too complex to be evaluated analytically or even numerically, but it is still possible to sample from it by plugging in the state. The novelty is 2-fold. First, ABC methods have not been used in marginalized filtering yet. Second, a new multivariate robust method for evaluation of particle weights is proposed. The goal of this paper is to demonstrate the idea on the background of the MPF with a particular accent on exposition.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

10103 - Statistics and probability

Project

<a href="/en/project/GA16-09848S" target="_blank" >GA16-09848S: Rationality and Deliberation</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

International Journal of Adaptive Control and Signal Processing

ISSN

0890-6327

e-ISSN

—

Volume of the periodical

32

Issue of the periodical within the volume

1

Country of publishing house

GB - UNITED KINGDOM

Number of pages

13

Pages from-to

1-12

UT code for WoS article

000419919900001

EID of the result in the Scopus database

2-s2.0-85030092933