A field of study concerning certain kinds of stochastic processes. The easiest entry point is IMO to think about randomised generalisation of state filter models. This has nothing to to with filters for particular matter as seen in respirators.
There is too much confusing and unhelpful terminology here, and I am only at the fringe of this field so I will not attempt to typologize. Let us clear up the main stumbling block though: somehow the field has coalesced under the banner of interacting particle systems which is an awful unsearchable name which could mean anything, and indeed does in other disciplines. Wikipedia disambiguates this problem with the gritty but clearer name Mean Field Particle Methods. In practical applications we talk about particle filters.s
Easy to explain with an example such as A scalable particle filter in scala. There is a lot more too this, and I will only touch upon it here. These are classically considered coursins to the linear Gaussian Kalman filter applicable to more challenging models at the cost of using Mote Carlo approximations. That will do as a starting point.
There is a mathematically rich theory about how it all works. The notoriously abstruse Del Moral (2004); Doucet, Freitas, and Gordon (2001a) are universally commended for unifying and making consistent the diffusion processes and Feynman-Kac formulae and “propagation of chaos”. I will get around to them eventually.
I am especially interested in jump-process (as opposed to diffusion) approaches. For those I should apparently consult Graham and Méléard (1997); Grünbaum (1971); Méléard (1996); Shiga and Tanaka (1985).
Miscellaneous practical introductions
- state-space models may be defined as python objects, in a basic form of probabilistic programming.
- Bootstrap filter, guided filter, auxiliary particle filter.
- Kalman filter and smoother.
- Baum-Welch filter and smoother (for hidden Markov models).
- Sequential quasi-Monte Carlo (and related tools: Hilbert ordering, RQMC sampling).
- smoothing: on-line and off-line, O(N^2) and O(N) versions of standard algorithms (FFBS, two-filter)
- SMC samplers: IBIS (data-tempering) and SMC tempering. Static models may be defined as Python objects.
- Bayesian inference for state-space models: several PMCMC (particle MCMC algorithms are implemented), such as PMMH and Particle Gibbs. Also SMC^2.
Dirk Eddelbuettel lab has RCppSMC for R integration of the Johansen stuff. Documentation is not great — it only consists of black-box toy problems without any hint of how you would construct, e.g. a likelihood function, so I can’t evaluate how easy this would be to use, as opp plain C++
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