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Monte Carlo Filtering of Piecewise Deterministic Processes
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@MISC{Whiteley_montecarlo,
author = {Nick Whiteley and Adam M. Johansen and Simon Godsill and Nick Whiteley and Adam M. Johansen and Simon Godsill},
title = {Monte Carlo Filtering of Piecewise Deterministic Processes},
year = {}
}
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Abstract
We present efficient Monte Carlo algorithms for performing Bayesian inference in a broad class of models: those in which the distributions of interest may be represented by time marginals of continuoustime jump processes conditional on a realisation of some noisy observation sequence. The sequential nature of the proposed algorithm makes it particularly suitable for real-time estimation in time series. We demonstrate that two existing schemes can be interpreted as particular cases of the proposed method. Results are provided which illustrate significant performance improvements relative to existing methods.
