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Sequential Monte Carlo techniques are useful for state estimation in non-linear, non-Gaussian dy-namic models. These methods allow us to ap-proximate the joint posterior distribution using sequential ...
In many applications of Monte Carlo nonlinear filtering, the propagation step is com-putationally expensive, and hence, the sample size is limited. With small sample sizes, the update step becomes cru...
In this paper, we consider the classic measurement error regression scenario in which our independent,or design, variables are observed with several sources of additive noise. We will show that our mo...
This paper presents the application of a particle filter for data assimilation in the context of puff-based dispersion models. Particle filters provide estimates of the higher moments, and are well su...
In this article we study asymptotic properties of weighted samples produced by the auxiliary particle filter (APF) proposed by Pitt and Shephard [17]. Besides establishing a central limit theorem (C...

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