Convergence of the SMC implementation of the PHD filter (Q2433264)

This paper shows that, under reasonable assumptions, a sequential Monte Carlo (SMC) approximation of the probability hypothesis density (PHD) filter converges in mean of order \(p\geq 1\), and hence almost surely, to the true PHD filter. The paper also presents a central limit theorem for the SMC approximation, shows that the variance is finite and establishes a recursion for the asymptotic variance.