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However, CPFs can be inefficient or difficult to apply with diffuse initial distributions, which are common in statistical applications. We propose a simple but generally applicable auxiliary variable method, which can be used together with the CPF in order to perform efficient inference with diffuse initial distributions. The method only requires simulatable Markov transitions that are reversible with respect to the initial distribution, which can be improper. We focus in particular on random walk type transitions which are reversible with respect to a uniform initial distribution (on some domain), and autoregressive kernels for Gaussian initial distributions. We propose to use online adaptations within the methods. In the case of random walk transition, our adaptations use the estimated covariance and acceptance rate adaptation, and we detail their theoretical validity. We tested our methods with a linear Gaussian random walk model, a stochastic volatility model, and a stochastic epidemic compartment model with time-varying transmission rate. The experimental findings demonstrate that our method works reliably with little user specification and can be substantially better mixing than a direct particle Gibbs algorithm that treats initial states as parameters.<\/jats:p>","DOI":"10.1007\/s11222-020-09975-1","type":"journal-article","created":{"date-parts":[[2021,3,3]],"date-time":"2021-03-03T08:09:43Z","timestamp":1614758983000},"update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Conditional particle filters with diffuse initial distributions"],"prefix":"10.1007","volume":"31","author":[{"given":"Santeri","family":"Karppinen","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Matti","family":"Vihola","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2021,3,3]]},"reference":[{"issue":"10228","key":"9975_CR1","doi-asserted-by":"publisher","first-page":"931","DOI":"10.1016\/S0140-6736(20)30567-5","volume":"395","author":"RM Anderson","year":"2020","unstructured":"Anderson, R.M., Heesterbeek, H., Klinkenberg, D., Hollingsworth, T.D.: How will country-based mitigation measures influence the course of the COVID-19 epidemic? 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