In this repository is included MATLAB code of the NHFs introduced in [2]. Other algorithms, which have been compared to NHFs in this paper, are also included:
- /NHF : 4 implementations of NHFs using sequential Monte Carlo (SMC) or sequential quasi-Monte Carlo (SQMC) in the first layer, and extended Kalman filters (EKFs) or ensemble Kalman filters (EnKFs) in the second layer (i.e., SMC-EKF, SMC-EnKF, SQMC-EKF and SQMC-EnKF).
- /NPF : implementation of nested particle filter (NPF) [1].
- /two-stage filter : implementation of two-stage filter [3].
[1] Crisan, D., & Miguez, J. (2018). Nested particle filters for online parameter estimation in discrete-time state-space Markov models. Bernoulli, 24(4A), 3039-3086.
[2] Pérez-Vieites, S., Mariño, I. P., & Míguez, J. (2018). Probabilistic scheme for joint parameter estimation and state prediction in cojmplex dynamical systems. Physical Review E, 98(6), 063305.
[3] Santitissadeekorn, N., & Jones, C. (2015). Two-stage filtering for joint state-parameter estimation. Monthly Weather Review, 143(6), 2028-2042.
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