Bayesian methodsBayesian / computational

Hierarchical Particle Filter

A hierarchical particle filter extends Sequential Monte Carlo to state-space models with multiple levels of latent variables. Particles are propagated at each level of the hierarchy, allowing the method to track both fine-grained state dynamics and slower-varying hyperparameters simultaneously, yielding calibrated posterior distributions across all levels of the model.

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Sources

  1. Briers, M., Doucet, A. & Maskell, S. (2010). Smoothing algorithms for state-space models. Annals of the Institute of Statistical Mathematics, 62(1), 61-89. DOI: 10.1007/s10463-009-0236-2
  2. Chopin, N., Jacob, P. E. & Papaspiliopoulos, O. (2013). SMC2: an efficient algorithm for sequential analysis of state-space models. Journal of the Royal Statistical Society: Series B, 75(3), 397-426. DOI: 10.1111/j.1467-9868.2012.01046.x

Related methods

ScholarGateHierarchical Particle Filter (Hierarchical Particle Filter). Retrieved 2026-06-04 from https://scholargate.app/en/bayesian/hierarchical-particle-filter