Non-linear and non-normal filter based on Monte-Carlo technique
Hisashi Tanizaki
A non-linear and/or non-normal filter is proposed in this paper. Generating random draws of the state vector directly from the filtering density, the filtering estimate is obtained, which gives us a recursive algorithm. There, we do not evaluate any integration included in the density-based filtering algorithm such as the numerical integration procedure and the Monte-Carlo integration approach. The Monte-Carlo experiments indicate that the proposed non-linear and non-normal filter shows a good performance.
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