# Questions tagged [sequential-monte-carlo]

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### Sequence analysis - adding a time vector

I'm currently attempting to define a Markov chain technique for producing high-resolution synthetic activity sequences. I'm using time-use data with a resolution of 10 minutes. According to the ...
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### Help understanding the proof that Monte Carlo methods that the expectation of $R$ samples is the expectation of the function

The above proof I got from UofT's CS412 lecture slides. So I have a few questions regarding this notation that I don't understand is $x \sim p(\{x^{(r)}\}^R_{r=1})$ supposed to represent $R$ number ...
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### Monte Carlo probability approximation vs Histogram

I am trying to learn the sequential Monte Carlo method (particle filter) in data assimilation. In this method, the aim is to approximate the CDF of the target variable having a random sample of the ...
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### Calculating the weights in ABC SMC (2 parameters and more)

Im trying to implement ABC SMC for ODE model which has 2 parameters to estimate. I stopped in the step when calculating the weights as it appear in this answer. My question is should I calculate the ...
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### Particle Filter for structural credit risk model

Kwon (2012)* proposes a structural credit risk model where the asset value process and the noise are estimated based on the observed equity prices: $S$ - equity prices $V$ - value of the assets $Z$ - ...
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### Understanding Sequential Importance Sampling and Particle Filtering

I am struggling with SIS for particle filtering in the following aspect: In particle filtering (as per this book), the objective is to estimate the full posterior $p( x_{0:k} \mid y_{1:k} )$ rather ...
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### Soft Question: What background do I need to understand Feynmann Kac Formulae by Pierre Del Moral?

I am attempting to understand Sequential Monte Carlo(SMC) deeply, but with little theoretical background on probability theory and stochastic processes. Usually, the 'statistics' perspective of markov ...
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### How do I calculate the weights in ABC-SMC

I have been reading through the Tutorial on ABC rejection and ABC SMC for parameter estimation and model selection by Tina Toni and Michael P. H. Stumpf. I can't work out how to calculate the weights ...
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