I know this might be offensive to some of my MCMC peeps, but I kinda love particle filtering.
(Ha, in searching for this tweet to reply to it, I turned up https://twitter.com/stochastician/status/257901302149939200 …)
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I am actually curious if anyone uses PF for anything in the real world. Like, where they would use an actual Klaman filter.
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The computational overhead is high, the concerns about particle depletion are real, there’s some noise model sensitivity
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I say this as someone who keeps trying to board the convex train
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