Predictive updating methods with application to bayesian classification Americasexchat online com

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Practical applications include target tracking (Gordon, Salmond and Smith 1993), blind deconvolution of digital communications channels (=-=Clapp and Godsill 1999, -=-Liu and Chen 1995), estimation of stochastic volatility (Pitt and Shephard 0960-3174 C○ 2000 Kluwer Academic Publishers 1999) and digital enhancement of speech and audio signals (Godsill and Rayner ... importance function which limits seriously the number of resampling steps. Nonlinear series We consider here the following nonlinear reference model (Gordon, Salmon and Smith 1993, Kitagawa 1987, =-=Tanizaki and Mariano 1998): xk = f -=-(xk−1) vk = 1 2 xk−1 25 yk = g(xk) wk = (xk) 2 wk 20 xk−1 8 cos (1.2k) vk 1 (xk−1) 2 (73) (74) where x0 ∼ N (0, 5), vk and wk are mutually independent white Gaussian noise, vk ...

Citation Context ...roximation of the optimal importance function. Numerous methods have been developed for reducing the variance of MC estimates including antithetic sampling (Handschin and Mayne 1969, Handschin 1970) and control variates (=-=Akashi and Kumamoto 1975-=-, Handschin 1970).

Other resampling procedures which reduce the MC variation, such as stratified sampling (Carpente...

Citation Context ...normalised importance function π(x0:n | y0:n) which has a support including that of the state posterior.

Current research has now focused on MC integration methods, which have the great advantage of not being subject to the assumption of linearity or Gaussianity in the model, and relevants198 Doucet, ... One cannot evaluate Neff exactly but, an estimate �Neff of Neff is given by: �Neff = � N i=1 1 � ˜w (i) k � 2 (35) When �Neff is below a fixed threshold Nthres, the SIR resampling proced=-=ure is used (Rubin 1988-=-).

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