23-016/III - Extremum Monte Carlo Filters: Real-Time Signal Extraction via Simulation and Regression

  • Authors
    Francisco Blasques, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; Karim Moussa, Vrije Universiteit Amsterdam
  • Publication date
    March 24, 2023
  • Keywords
    Nonlinear non-Gaussian state space models, Least squares Monte Carlo, Real-time filtering, Intractable densities, Curse of dimensionality