Coupled conditional backward sampling particle filter

15 Jun 2018Anthony LeeSumeetpal S. SinghMatti Vihola

We consider the coupled conditional backward sampling particle filter (CCBPF) algorithm, which is a practically implementable coupling of two conditional backward sampling particle filter (CBPF) updates with different reference trajectories. We find that the algorithm is stable, in the sense that with fixed number of particles, the coupling time in terms of iterations increases only linearly with respect to the time horizon under a general (strong mixing) condition... (read more)

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