Stochastic simulation
On sequential Monte Carlo sampling methods for Bayesian filtering
Statistics and Computing
Inference in Hidden Markov Models (Springer Series in Statistics)
Inference in Hidden Markov Models (Springer Series in Statistics)
Computational methods for complex stochastic systems: a review of some alternatives to MCMC
Statistics and Computing
Adaptive methods for sequential importance sampling with application to state space models
Statistics and Computing
Gaussian proposal density using moment matching in SMC methods
Statistics and Computing
A survey of convergence results on particle filtering methods forpractitioners
IEEE Transactions on Signal Processing
A tutorial on particle filters for online nonlinear/non-GaussianBayesian tracking
IEEE Transactions on Signal Processing
Particle filters for state estimation of jump Markov linear systems
IEEE Transactions on Signal Processing
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Particle filters (PF) and auxiliary particle filters (APF) are widely used sequential Monte Carlo (SMC) techniques. In this paper we comparatively analyse, from a non asymptotic point of view, the Sampling Importance Resampling (SIR) PF with optimal conditional importance distribution (CID) and the fully adapted APF (FA). We compute the (finite samples) conditional second order moments of Monte Carlo (MC) estimators of a moment of interest of the filtering pdf, and analyse under which circumstances the FA-based estimator outperforms (or not) the optimal Sequential Importance Sampling (SIS)-based one. Our analysis is local, in the sense that we compare the estimators produced by one time step of the different SMC algorithms, starting from a common set of weighted points. This analysis enables us to propose a hybrid SIS/FA algorithm which automatically switches at each time step from one loop to the other. We finally validate our results via computer simulations.