yberol
commented
7 years ago need to compare Jared's implementation against
- https://www.jstor.org/stable/pdf/1390750.pdf
- http://perso.telecom-paristech.fr/~cappe/Publications/Self-archive/06particle-cmg.pdf (Alg 5)
a good test case would be to run the fixed-lag particle smoother against a simple linear Gaussian model with the fixed-lag Kalman smoother.
The current Particle Filter does not support fixed-lag smoothing.