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A sequential smoothing algorithm with linear computational cost.

Research output: Contribution to journalJournal article

Published

Journal publication date06/2010
JournalBiometrika
Journal number2
Volume97
Number of pages18
Pages447-464
Original languageEnglish

Abstract

In this paper we propose a new particle smoother that has a computational complexity of O(N), where N is the number of particles. This compares favourably with the O(N2) computational cost of most smoothers. The new method also overcomes some degeneracy problems in existing algorithms. Through simulation studies we show that substantial gains in efficiency are obtained for practical amounts of computational cost. It is shown both through these simulation studies, and by the analysis of an athletics dataset, that our new method also substantially outperforms the simple filter-smoother, the only other smoother with computational cost that is O(N).