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Table 9 Simulation results for Example 2: Mean and standard deviations of the RMSE for three different estimators of xn,3, namely, O2, the posterior mean based on SIR and the posterior mean based on TS

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

Exp. no.

(Q,R)

R/Q

RMSE for xn,3

   

O 2

SIR

TS

   

Mean

SD

Mean

SD

Mean

SD

1

(0.05,0.1)

2.0

0.1007

0.0119

0.1190

0.0406

0.0567

0.0132

2

(0.1,0.1)

1.0

0.1007

0.0119

0.1800

0.0944

0.0696

0.0103

3

(0.2,0.1)

0.5

0.1007

0.0119

0.2976

0.1850

0.1137

0.0456

4

(0.5,0.1)

0.2

0.1007

0.0119

0.6206

0.4280

0.2268

0.1089

5

(1.0,0.1)

0.1

0.0944

0.0145

1.0841

0.7334

0.2652

0.0931

6

(0.1,1.0)

10.0

0.9370

0.1374

0.2932

0.0616

0.2062

0.0188

7

(0.2,1.0)

5.0

0.9515

0.2547

0.5539

0.1642

0.3280

0.0606

8

(0.5,1.0)

2.0

1.0107

0.1934

1.5100

0.8464

0.6677

0.0613

9

(1.0,1.0)

1.0

0.9635

0.0891

1.3989

0.7751

0.5752

0.0739