Optimal importance sampling for some quadratic forms of ARMA processes.

Piero Barone Anna Gigli Mauro Piccioni

Published in: IEEE Trans. Inf. Theory (1995)

Keyphrases

importance sampling
monte carlo
markov chain
kalman filter
particle filter
dynamic programming
rare events
optimal solution
particle filtering
markov chain monte carlo
pairwise
evolutionary algorithm
probability distribution
motion model