The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool …

There are various importance sampling schemes to estimate rare event probabilities in Markovian systems such as … Markovian reliability models and Jackson networks. In this work, we present a general state dependent importance sampling method … with other importance sampling schemes. The performance of the importance sampling schemes is measured by the relative …

We show that efficient importance sampling for nonlinear non-Gaussian state space models can be implemented by … simple and fast method for efficient importance sampling. A simulation study and empirical illustration provide some evidence …

weights. It is done using an innovative non-parametric technique called Double Sampling Kalman Filter, derived from the …