APPLICATION OF THE MONTE CARLO NUMERICAL INTEGRATION METHOD FOR APPROXIMATION OF PROBABILITY DENSITY

Abstract

Monte Carlo numerical integration method is considered, methods of approximation as random probability density as well as a posteriori probability density of changing markovian discrete filtered parametres with add particles.

Keywords

• нелинейная фильтрация
• метод монте-карло
• плотность вероятности
• значимая выборка (importance sampling)
• частицы (particles)