Copula Particle Filters
Copula Particle Filters
Carlos E. Rodríguez,S. Walker
2021 · DOI: 10.1016/J.CSDA.2021.107230
Computational Statistics & Data Analysis · 1 Citations
TLDR
It is shown that by modifying the standard recursive update it is possible to apply a copula model to eliminate a particular integral, which is typically performed using importance sampling, and the proposed algorithm is named the Copula Particle Filter (CPF).