It seems that I may have misunderstood what is commonly meant by "SIR Particle Filter". It seems that most authors use SIR to refer to filters that use any proposal distribution while the SIRParticleFilter in this package always uses the transition probability distribution as the proposal distribution.
Perhaps BootstrapFilter would be better? It's hard to tell what people use.
Gordon, N. J., Salmond, D. J., & Smith, A. F. M. (n.d.). Novel approach to nonlinear / non-Gaussian Bayesian state estimation, 107–113.
Crisan, D., & Doucet, A. (2002). A survey of convergence results on particle filtering methods for practitioners. IEEE Transactions on Signal Processing, 50(3), 736–746. https://doi.org/10.1109/78.984773
It seems that I may have misunderstood what is commonly meant by "SIR Particle Filter". It seems that most authors use SIR to refer to filters that use any proposal distribution while the
SIRParticleFilter
in this package always uses the transition probability distribution as the proposal distribution.Perhaps
BootstrapFilter
would be better? It's hard to tell what people use.Relevant sources to consult: