A stable particle filter for a class of high-dimensional state-space models - Beskos, Alexandros; Crisan, Dan; Jasra, Ajay; Kamatani, Kengo; Zhou, Yan (Advances in applied probability, 2017)
Keywords: Approximation; Computer simulation; Dimensional stability; Filtration; Markov chains; Monte Carlo simulation; Probability; State space models; Primary 62M20; particle filter; State-space model; high dimensions; Secondary 60G35