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Particle Filter With Rejection Control And Unbiased Estimator Of The Marginal Likelihood

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IEEE ICASSP 2020 Virtual Conference May 2020

We consider the combined use of resampling and partial rejection control in sequential Monte Carlo methods, also known as particle filters. While the variance reducing properties of rejection control are known, there has not been (to the best of our knowl

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Particle Filter With Rejection Control And Unbiased Estimator Of The Marginal Likelihood

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We consider the combined use of resampling and partial rejection control in sequential Monte Carlo methods, also known as particle filters. While the variance reducing properties of rejection control are known, there has not been (to the best of our knowl