Particle Filtering
We now have all the ingredients in place to describe particle filtering at a sufficient level of generality: on one hand, the chosen Feynman-Kac model defines the recursive quantities we wish to approximate; on the other hand, importance sampling and resa
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Nicolas Chopin Omiros Papaspiliopoulos
An Introduction to Sequential Monte Carlo
Springer Series in Statistics Series Editors: Peter Bühlmann, Peter Diggle, Ursula Gather, Scott Zeger
Springer Series in Statistics (SSS) is a series of monographs of general interest that discuss statistical theory and applications. The series editors are currently Peter Bühlmann, Peter Diggle, Ursula Gather, and Scott Zeger. Peter Bickel, Ingram Olkin, and Stephen Fienberg were editors of the series for many years.
More information about this series at http://www.springer.com/series/692
Nicolas Chopin • Omiros Papaspiliopoulos
An Introduction to Sequential Monte Carlo
Nicolas Chopin ENSAE, Institut Polytechnique de Paris Palaiseau Cedex, France
Omiros Papaspiliopoulos ICREA and Department of Economics and Business Universitat Pompeu Fabra Barcelona, Spain
ISSN 0172-7397 ISSN 2197-568X (electronic) Springer Series in Statistics ISBN 978-3-030-47844-5 ISBN 978-3-030-47845-2 (eBook) https://doi.org/10.1007/978-3-030-47845-2 Mathematics Subject Classification: 62, 60 © Springer Nature Switzerland AG 2020 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors, and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, expressed or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. This Springer imprint is published by the registered company Springer Nature Switzerland AG. The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland
Contents
1
Preface .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 1.1 Relation to Other Books . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 1.2 Structure of the Book . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 1.3 Note to Instructors.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 1.4 Acknowledgements . . . . . .
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