# Questions tagged [sequential-monte-carlo]

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### How to update particles' weights and what are some ensemble evaluation metrics for a multivariate particle filter?

I am trying to figure out how to perform a multivariate (standard/bootstrap) particle filter to assimilate observations into a hydrological model. Most of the literature (in my field at least) is ...
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### Sanity check: Ensemble-based sequential state inference with different parameters (Ensemble Kalman Filter)

I have recently been invited to review a publication which employs the Ensemble Kalman Filter (EnKF) for the sequential inference of dynamic state variables $x_{1,...,t}=(x_1,...,x_t)$. In the study, ...
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### Are the Sequential Monte Carlo algorithm invariant to the step at which we resample?

In a usual textual description (according to SMC in Practice book ) of a SMC algorithm for State-Space models, we usually expand the particles according to the distribution from the transition ...
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### Variance of a mixture of Normals with same $\sigma^2_i$

Let $Y\sim \sum^N_{i=1}\omega_iN(m_i,h^2 V)$. The text I'm reading states that $Var(Y)=(1+h^2)V$, when $m_i=\theta_i$, where $\theta_i$ are draws taken from $P(\theta|D)$, and $V=Var(\theta|D)$ I ...
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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 ...