Hidden Markov Models and the Bootstrap Particle Filter

11/25/2020

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Outline

  • The following topics will be covered in this lecture:
    • What is “data assimilation”?
      • Observation-Analysis-Forecast cycles
    • The Bayesian framework for data assimilation
      • Hidden Markov models
    • A simple computational method
      • The bootstrap particle filter

What is “data assimilation”?