What happens when future observations (typically at the end of program execution) strongly condition the state at an earlier time? The mass will disappear and the variance will be huge. To put it another way, the filtering distribution and the smoothing distribution may not overall well at all. Then what?
What happens when future observations (typically at the end of program execution) strongly condition the state at an earlier time? The mass will disappear and the variance will be huge. To put it another way, the filtering distribution and the smoothing distribution may not overall well at all. Then what?