Modern parallel computing devices, such as the graphics processing unit (GPU), have gained significant traction in scientific and statistical computing. They are particularly well-suited to data-parallel algorithms such as the particle filter, or more generally sequential Monte Carlo (SMC), which are increasingly used in statistical inference. SMC methods carry a set of weighted particles through repeated propagation, weighting, and resampling steps.
MURRAY, L.M., LEE, A. et JACOB, P. (2016). Parallel Resampling in the Particle Filter. Journal of Computational and Graphical Statistics, 25(3), pp. 789-805.