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In fields of statistical signal processing, automatic control, or econometrics, many problems can be stated as Bayesian/optimal filtering problem, that is A state transition equation, The prior distribution of the Markovian hidden signal of interest \(\{x_n;n\in \mathbb {N}\}\) , so-called hidden state process, An observation equation that formulates the likelihood of the observations \(\{y_n; n\in \mathbb {N}\}\) , where n denotes the index of the discrete time at time instance \(t_n\) .

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Particle Filter

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  • 发表日期：

    2025年

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  • Ming Lei

摘要

In fields of statistical signal processing, automatic control, or econometrics, many problems can be stated as Bayesian/optimal filtering problem, that is A state transition equation, The prior distribution of the Markovian hidden signal of interest \(\{x_n;n\in \mathbb {N}\}\) , so-called hidden state process, An observation equation that formulates the likelihood of the observations \(\{y_n; n\in \mathbb {N}\}\) , where n denotes the index of the discrete time at time instance \(t_n\) .