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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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: Journal Article
Journal or Publication Title: Biometrika
Uncontrolled Keywords: /dk/atira/pure/researchoutput/libraryofcongress/qa
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 13:11
Refereed?: Yes
Published?: Published
Last Modified: 27 Jan 2020 01:31
URI: https://eprints.lancs.ac.uk/id/eprint/8844

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