/Perez-Vieites2018_NestedHybridFilter

Code for the nested hybrid filters (NHFs), including four different implementations using sequential Monte Carlo (SMC), sequential quasi-Monte Carlo (SQMC), extended Kalman filters (EKFs) and ensemble Kalman filters (EnKFs). I have also included the implementation of the nested particle filter (NPF) and the two-stage filter to compare performance.

Primary LanguageMATLABMIT LicenseMIT

Stargazers