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Title of Journal: Stat Comput

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Abbravation: Statistics and Computing

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Springer US

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DOI

10.1007/bf02297063

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ISSN

1573-1375

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Gaussian proposal density using moment matching in

Authors: S Saha P K Mandal Y Boers H Driessen A Bagchi
Publish Date: 2008/07/31
Volume: 19, Issue: 2, Pages: 203-208
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Abstract

In this article we introduce a new Gaussian proposal distribution to be used in conjunction with the sequential Monte Carlo SMC method for solving nonlinear filtering problems The proposal in line with the recent trend incorporates the current observation The introduced proposal is characterized by the exact moments obtained from the dynamical system This is in contrast with recent works where the moments are approximated either numerically or by linearizing the observation model We show further that the newly introduced proposal performs better than other similar proposal functions which also incorporate both state and observationsThis article is published under an open access license Please check the Copyright Information section for details of this license and what reuse is permitted If your intended use exceeds what is permitted by the license or if you are unable to locate the licence and reuse information please contact the Rights and Permissions team

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