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A sequential smoothing algorithm with linear computational cost.

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: 09 Oct 2013 15:42
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/8844

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