Fearnhead, Paul and Wyncoll, David and Tawn, Jonathan (2010) A sequential smoothing algorithm with linear computational cost. Biometrika, 97 (2). pp. 447-464. ISSN 1464-3510
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Abstract
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(N2) 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).
| Item Type: | Article |
|---|---|
| Journal or Publication Title: | Biometrika |
| Uncontrolled Keywords: | Extreme value theory • Forward-backward algorithm • Particle filtering • Particle smoothing • Two-filter formula |
| Subjects: | Q Science > QA Mathematics |
| Departments: | Faculty of Science and Technology > Mathematics and Statistics Faculty of Science and Technology > School of Computing & Communications |
| ID Code: | 8844 |
| Deposited By: | Prof Paul Fearnhead |
| Deposited On: | 15 May 2008 14:11 |
| Refereed?: | Yes |
| Published?: | Published |
| Last Modified: | 26 Jul 2012 18:27 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/8844 |
Available Versions of this Item
- A sequential smoothing algorithm with linear computational cost. (deposited 12 May 2008 16:38)
- A sequential smoothing algorithm with linear computational cost. (deposited 15 May 2008 14:11)[Currently Displayed]
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