AdvancedPS
Reference
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Doucet, Arnaud, and Adam M. Johansen. "A tutorial on particle filtering and smoothing: Fifteen years later." Handbook of nonlinear filtering 12, no. 656-704 (2009): 3.
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Andrieu, Christophe, Arnaud Doucet, and Roman Holenstein. "Particle Markov chain Monte Carlo methods." Journal of the Royal Statistical Society: Series B (Statistical Methodology) 72, no. 3 (2010): 269-342.
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Tripuraneni, Nilesh, Shixiang Shane Gu, Hong Ge, and Zoubin Ghahramani. "Particle gibbs for infinite hidden Markov models." In Advances in Neural Information Processing Systems, pp. 2395-2403. 2015.
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Lindsten, Fredrik, Michael I. Jordan, and Thomas B. Schön. "Particle Gibbs with ancestor sampling." The Journal of Machine Learning Research 15, no. 1 (2014): 2145-2184.
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Pitt, Michael K., and Neil Shephard. "Filtering via simulation: Auxiliary particle filters." Journal of the American statistical association 94, no. 446 (1999): 590-599.
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Doucet, Arnaud, Nando de Freitas, and Neil Gordon. "Sequential Monte Carlo Methods in Practice."
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Del Moral, Pierre, Arnaud Doucet, and Ajay Jasra. "Sequential Monte Carlo samplers." Journal of the Royal Statistical Society: Series B (Statistical Methodology) 68, no. 3 (2006): 411-436.