Statistical Seminar: Every Monday at 2:00 pm.
Time: 2:00 pm – 3:15 pm
Date: 6th of Febuary 2023
Place: Room 3001

Francesca CRUCINIO (CREST) – “A divide conquer sequential Monte Carlo approach to high dimensional filtering ”

Abstract:

We propose a divide-and-conquer approach to filtering which decomposes the state variable into low-dimensional components to which standard particle filtering tools can be successfully applied and recursively merges them to recover the full filtering distribution. It is less dependent upon factorization of transition densities and observation likelihoods than competing approaches and can be applied to a broader class of models. Performance is compared with state-of-the-art methods on a benchmark problem and it is demonstrated that the proposed method is broadly comparable in settings in which those methods are applicable, and that it can be applied in settings in which they cannot.

Organizers:
Cristina BUTUCEA (CREST), Alexandre TSYBAKOV (CREST), Karim LOUNICI (CMAP) , Jaouad MOURTADA (CREST)
Sponsors:
CREST-CMAP