Particle filters for partially observed diffusions

Fearnhead, Paul, Papaspiliopoulos, Omiros, Roberts, Gareth O. . Journal of the Royal Statistical Society: Series B (Statistical Methodology) 2008. 70 (4) :755-777

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Bibtex

@article{CIS-223757,
  Author = {Fearnhead, Paul and Papaspiliopoulos, Omiros and Roberts, Gareth O.},
  Title = {Particle filters for partially observed diffusions},
  Journal = {Journal of the Royal Statistical Society: Series B (Statistical Methodology)},
  Volume = {70},
  Number = {4},
  Year = {2008},
  Pages = {755--777},
  Keywords = {Central limit theorem, Cox process, auxiliary variables, exact algorithm, Continuous time particle filtering}
}

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