This article considers the problem of storing the paths generated by a particle filter and more generally by a sequential Monte Carlo algorithm. It provides a theoretical result bounding the expected memory cost by T+CNlogN where T is the time horizon, N is the number of particles and C is a constant, as well as an efficient algorithm to realise this. The theoretical result and the algorithm are illustrated with numerical experiments.
CITATION STYLE
Jacob, P. E., Murray, L. M., & Rubenthaler, S. (2015). Path storage in the particle filter. Statistics and Computing, 25(2), 487–496. https://doi.org/10.1007/s11222-013-9445-x
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