Numerically stable online estimation of variance in particle filters (Q1740533)

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scientific article
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Numerically stable online estimation of variance in particle filters
scientific article

    Statements

    title
    Numerically stable online estimation of variance in particle filters (English)
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    author
    Jimmy Olsson
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    Randal Douc
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    published in
    Bernoulli
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    publication date
    30 April 2019
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    zbMATH Keywords
    asymptotic variance
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    Feynman-Kac models
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    hidden Markov models
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    particle filters
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    sequential Monte Carlo methods
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    state-space models
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    variance estimation
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    cites work
    Q4819702
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    Q2753032
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    Q4457489
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    Identifiers

    DOI
    10.3150/18-BEJ1028
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    Mathematics Subject Classification ID
    62M05
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    62M20
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    60J22
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    zbMATH DE Number
    7049414
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    arXiv ID
    1701.01001
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    Wikidata QID
    Q128249301
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