A particle filter represents the filtering law of a state by a weighted sample of particles. Sequential importance resampling, the bootstrap filter of Gordon, Salmond and Smith (1993), propagates each particle through the state equation, weights it by the density of the new observation given the particle, and resamples in proportion to the weights; the average weight at each step estimates the one-step predictive density, and their product the likelihood.
Quantitative Finance · Glossary
What is Particle filter, sequential importance resampling?
Also known as: particle filter · sequential importance resampling