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Kernel density estimates in particle filter
- 1.0442499 - ÚI 2015 US eng V - Research Report
Coufal, David
Kernel density estimates in particle filter.
Cornell University, 2015. 37 s. arXiv.org e-Print archive, arXiv:1402.3466 [stat.CO].
R&D Projects: GA MŠMT(CZ) LD13002
Institutional support: RVO:67985807
Keywords : particle filter * kernel methods * Fourier transform
Subject RIV: BB - Applied Statistics, Operational Research
http://arxiv.org/abs/1402.3466
The paper deals with kernel density estimates of filtering densities in the particle filter. The convergence of the estimates is investigated by means of Fourier analysis. It is shown that the estimates converge to the theoretical filtering densities in the mean integrated squared error under a certain assumption on the Sobolev character of the filtering densities. A sufficient condition is presented for the persistence of this Sobolev char- acter over time. Both results are extended to partial derivatives of the estimates and filtering densities.
Permanent Link: http://hdl.handle.net/11104/0245307
Number of the records: 1