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Table 6 Average coverage probabilities (in %) of the 95% HPD confidence set for (xn,1,xn,2) based on the TS procedure

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 97.6 6 92.6
2 94.6 7 93.4
3 95.6 8 94.4
4 95.2 9 95.6
5 94.4 10 93.8
  1. Coverage probabilities are shown for each n in Example 1 corresponding to (Q,R)=(0.2,0.1)