Journal
BIOMETRIKA
Volume 97, Issue 2, Pages 447-464Publisher
OXFORD UNIV PRESS
DOI: 10.1093/biomet/asq013
Keywords
Extreme value theory; Forward-backward algorithm; Particle filtering; Particle smoothing; Two-filter formula
Funding
- Engineering and Physical Sciences
- Natural Environment Research Council Environmental Mathematics and Statistics
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In this paper we propose a new particle smoother that has a computational complexity of O(N), where N is the number of particles. This compares favourably with the O(N-2) computational cost of most smoothers. The new method also overcomes some degeneracy problems in existing algorithms. Through simulation studies we show that substantial gains in efficiency are obtained for practical amounts of computational cost. It is shown both through these simulation studies, and by the analysis of an athletics dataset, that our new method also substantially outperforms the simple filter-smoother, the only other smoother with computational cost that is O(N).
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