# Questions tagged [particle-filter]

Particle filters (or sequential Monte Carlo) is a form of genetic simulation algorithm used for filtering problems in signal analysis and time series analysis.

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### How does Particle Filters work?

I'm trying to figure out how particle filter works. Assume that I have selected propability function called $a \sim Gauss(\mu, \sigma)$. We call it proposial (Gaussian) Distribution. Then we have ...
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### Do I need to know the distribution of the noise before I'm using Monte Carlo Sampling?

I'm going to use Particle Filter, which is a Monte Carlo Sampling. My simple question is: Do I need to know the distribution of the noise before I'm using Monte Carlo Sampling? Or can I just use a ...
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### Particle Gibbs Sampler For Regime-Switching Nonlinear Gaussian SSM

I'm reading this paper on using a non-linear Gaussian SSM for measuring regime-switching leverage effect using stock market data. I'm using it as jump-off point for an undergraduate paper. My advisor ...
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### Particle filter/SMC - dynamic rotation in ICA (independent component analysis)

I struggle with the applicability of the bootstrap particle filter within dynamic rotations in independent component analysis. To be clear, suppose the following: $$Y_{t} = R(\delta_{t})\epsilon_{t}$$ ...
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### Bayes filter with delayed measurements

I have some straight and curve pieces with numbers, they are used to build tracks (of $5$ lanes) for my cars (figure $1$), I can send commands to the cars using an SDK on the Raspberry (set the speed ...
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### Particle filter maximum likelihood with a discrete (Bernoulli) state variable, non-smooth loglikelihood

My model looks like this \begin{align} \begin{split} dY_{t} & = \sigma_{t} dW_{t} + Z_t dN_t \\ d\lambda_t & = \alpha(\lambda_\infty - \lambda_t)dt + \beta dN_t \end{split} \end{...