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Journal articles (2020), Statistics and Computing

Multilevel Particle Filters for the Non-Linear Filtering Problem in Continuous Time

JASRA A., YU F., HENG Jeremy

In this article we consider the numerical approximation of the non-linear filter in continuous-time, where the observations and signal follow diffusion processes. Given access to high-frequency, but discrete-time observations, we resort to a first order t

JASRA, A., YU, F. and HENG, J. (2020). Multilevel Particle Filters for the Non-Linear Filtering Problem in Continuous Time. Statistics and Computing.