Recent Advances in Particle Based Simulation Methods

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• J.D.Lawrence@statslab.cam.ac.uk
• Wednesday 05 May 2010, 16:00-17:00
• MR5, CMS.

If you have a question about this talk, please contact Richard Samworth.

Particle based methods are becoming ubiquitous in the analysis of sequential (not just time series) problems in statistics. These methods have come a long way since the particle filter of Gordon Salmond and Smith (1993). I will show some `tricks of the trade’ that have been developed since then. These will include the Auxiliary Particle Filter, Particle Learning, and some other tricks that can improve any particle based method.

Paper: “A Tutorial on Particle Filtering and Smoothing: Fifteen Years Later” by Arnaud Doucet and Adam Johansen

This talk is part of the Statistics Reading Group series.

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