Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models
From MaRDI portal
Publication:2435241
DOI10.3150/12-BEJ450zbMath1411.60116arXiv1012.4183MaRDI QIDQ2435241
Sylvain Le Corff, Cyrille Dubarry
Publication date: 4 February 2014
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1012.4183
additive functionals; sequential Monte Carlo methods; deviation inequalities; FFBS; FFBSi; particle-based approximations
60J22: Computational methods in Markov chains
62M05: Markov processes: estimation; hidden Markov models
60J55: Local time and additive functionals
Related Items
On the two-filter approximations of marginal smoothing distributions in general state-space models, Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach, Backward Importance Sampling for Online Estimation of State Space Models, On backward smoothing algorithms, Online expectation maximization based algorithms for inference in hidden Markov models, On the Behaviour of the Backward Interpretation of Feynman-Kac Formulae Under Verifiable Conditions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Particle approximations of the score and observed information matrix in state space models with application to parameter estimation
- Sequential Monte Carlo smoothing for general state space hidden Markov models
- Smoothing algorithms for state-space models
- Bayesian forecasting and dynamic models
- Inference in hidden Markov models.
- Stochastic Limit Theory
- Filtering via Simulation: Auxiliary Particle Filters
- A backward particle interpretation of Feynman-Kac formulae
- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
- Monte Carlo Smoothing for Nonlinear Time Series
- On the stability of interacting processes with applications to filtering and genetic algorithms