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On the auxiliary particle filter

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Fig. 1. Plot of MSE perfomances (on log-scale) of the bootstrap particle filter ( ∗ ), the SSAPF based on optimal weights (  ), and the SSAPF based on the generic weights t P&S k of Pitt and Shephard (1999a) ( ◦ )
Fig. 3. Plot of MSE perfomances (on log-scale) of the bootstrap particle filter ( ∗ ), the SSAPF based on optimal weights (  ), the SSAPF based on the generic weights t P&Sk ( ◦ ), and the fully adapted SSAPF ( × ) for the Linear/Gaussian model in Sect
Fig. 4. Plot of MSE perfomances (on log-scale) of the bootstrap particle filter ( ∗ ), the SSAPF based on optimal weights (  ), the SSAPF based on the generic weights t P&Sk ( ◦ ), and the fully adapted SSAPF ( × ) for the ARCH model in Section 5.1
Fig. 5. Plot of MSE perfomances (on log-scale) of the bootstrap particle filter ( ∗ ), the SSAPF based on optimal weights (  ), the SSAPF based on the generic weights t P&Sk ( ◦ ), and the fully adapted SSAPF ( × ) for the SV model in Section 5.2

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