Johansen, Adam M.; Doucet, Arnaud - In: Statistics & Probability Letters 78 (2008) 12, pp. 1498-1504
The auxiliary particle filter (APF) introduced by Pitt and Shephard [Pitt, M.K., Shephard, N., 1999. Filtering via simulation: Auxiliary particle filters. J. Am. Statist. Ass. 94, 590-599] is a very popular alternative to Sequential Importance Sampling and Resampling (SISR) algorithms to perform...
