Bayesian methodsBayesian / computational

Particle Filter with Missing Data

A particle filter adapted for state-space models in which some observations are absent. The algorithm tracks a hidden state over time using a cloud of weighted random samples (particles); when a time step has no observed value, the weight-update step is simply skipped, so the particles propagate forward using only the transition model until new data arrives.

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Sources

  1. Doucet, A., de Freitas, N. & Gordon, N. J. (Eds.) (2001). Sequential Monte Carlo Methods in Practice. Springer, New York. ISBN: 978-0387951461
  2. Doucet, A., Godsill, S. & Andrieu, C. (2000). On sequential Monte Carlo sampling methods for Bayesian filtering. Statistics and Computing, 10(3), 197-208. DOI: 10.1023/A:1008935410038

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Referenced by

ScholarGateParticle Filter with Missing Data (Sequential Monte Carlo Particle Filter for State-Space Models with Missing Observations). Retrieved 2026-06-04 from https://scholargate.app/en/bayesian/particle-filter-with-missing-data