George Casella and Christian Robert. Rao-Blackwellisation of sampling schemes. Biometrika, 83(1):81--94, 1996. Home/Search Document Not in Database Summary Related Articles Check |
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....1:t ) P (x t t 1 , z t )P (z t t 1 ) For the selection step, we used a state of the art minimum variance resampling algorithm [9] 3. 1 Rao Blackwellised Particle Filtering By considering the factorization p ( x 0:t , z 0:t y 1:t ) p ( x 0:t y 1:t , z 0:t ) p ( z 0:t y 1:t ) [10, 11, 3], it is possible to design more efcient PF algorithms, and get results with less variance. The density p ( x 0:t y 1:t , z 0:t ) is Gaussian and can be computed analytically if we know the marginal posterior density p ( z 0:t y 1:t ) This density satises the alternative recursion p (z ....
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