Rao-Blackwellized particle filter for Markov modulated nonlinear dynamic systems

The Markov modulated (switching) state space is an important model paradigm in statistical signal processing. In this article, we specifically consider Markov modulated nonlinear state-space models and address the online Bayesian inference problem for such models. In particular, we propose a new Rao-Blackwellized particle filter for the inference task which is our main contribution here. A detailed description of the problem and an algorithm is presented