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Graduate Increasing variance of weights in sequential importance sampling
Hi all, I know about these facts: 1- The variance of importance weights increases in SIR (also know as the degeneracy problem). 2- It's bad (lol), because in practice, there will be a particle with high normalized weight and many particles with insignificant (normalized) weights. But I...- sisyphuss
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- Increasing Sampling Variance
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- Forum: Set Theory, Logic, Probability, Statistics