Comparative survey on non linear filtering methods : the quantization and the particle filtering approaches

Afef Sellami (1)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

We rise a comparative study between two different approaches to construct non linear filter estimators : on one hand grid methods using zero order and first order quantization schemes, on the other hand particle filtering algorithms using sequential importance sampling or resampling. For each method, numerical implementation is explicited in addition to convergence arguments and algorithmic complexity. Numerical examples are then given over three state space models: the Kalman filter case, the canonical stochastic volatility model and the infinite dimension explicit filter introduced in [8]

Mots clés: quantization schemes; particle filtering; importance sampling; Kalman filter; stochastic volatility; infinite dimension filter; Nonlinear filter

Domaines: Probabilités [math.PR]

Afef Sellami. Comparative survey on non linear filtering methods : the quantization and the particle filtering approaches. 2005. ⟨hal-00012274v1⟩