AKA “Sequential Monte Carlo” and a profusion of other simultaneous-discovery names.
A randomised generalisation of state filter models such as the
Easy to explain with an example:
A scalable particle filter in scala
: Apparently EDIT SMC is more general -
it does not necessarily assume that the additional axes are assimilated in time,
but can index any arbitrary dimension of your data,
as long as you are approximating the right likelihood.
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