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Robust, partially alive particle Metropolis-Hastings via the Frankenfilter

Sherlock, Chris et al.
arXiv (OAI Expanded) · Papers
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methodology
When a hidden Markov model permits the conditional likelihood of an observation given the hidden process to be zero, all particle simulations from one observation time to the next could produce zeros. If so, the filtering distribution cannot be estimated and the estimated parameter likelihood is zer
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