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Table 10 Coverage probabilities (expressed as percentage) of the 95% HPD confidence set based on the filtered densities at each time point n in Example 2 (the Lorentz 63 model) with Q=0.5 and R=1

From: A weighted likelihood criteria for learning importance densities in particle filtering

Time step Coverage (%) Time step Coverage (%)
n by 95% HPD sets n by 95% HPD sets
1 96.6 6 93.4
2 95.8 7 90.8
3 93.4 8 90.4
4 95.4 9 93.6
5 94.0 10 94.6