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Particle rejuvenation of Rao-Blackwellized Sequential Monte Carlo smoothers for Conditionally Linear and Gaussian models

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Academic year: 2021

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Figure 1: Posterior probabilities estimation error for all algorithms.
Figure 2: Empirical variances of the estimation of P(a k = 1|Y 1:n ) for all algorithms.
Table 2: Final estimates after 2500 iterations.
Figure 3: Log-price (red line) and slope of future curves (blue line).
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