Journal
STATISTICS AND COMPUTING
Volume 19, Issue 2, Pages 203-208Publisher
SPRINGER
DOI: 10.1007/s11222-008-9084-9
Keywords
Bayesian filtering; Nonlinear dynamic system; Sequential Monte Carlo methods; Particle filtering; Importance sampling; Moment matching
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In this article we introduce a new Gaussian proposal distribution to be used in conjunction with the sequential Monte Carlo (SMC) method for solving non-linear 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 observations.
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