Antithetic sampling for sequential Monte Carlo methods with application to state-space models

DOI10.1007/S10463-015-0524-YMaRDI QIDQ314578zbMATH OpenOpenAlexFDO

Authors Svetlana Bizjajeva, Jimmy Olsson

Publication date 16 September 2016

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-015-0524-y

zbMATH Keywords

antithetic samplingcentral limit theoremoptimal filteringoptimal kernelparticle filterstate-space models

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)

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Cites work

• Adaptive sequential Monte Carlo by means of mixture of experts
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• Filtering via Simulation: Auxiliary Particle Filters
• scientific article; zbMATH DE number 5919872 (Why is no real title available?)
• scientific article; zbMATH DE number 2106098 (Why is no real title available?)
• Inference in hidden Markov models.
• Limit theorems for weighted samples with applications to sequential Monte Carlo methods
• Multiprocess parallel antithetic coupling for backward and forward Markov chain Monte Carlo
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• On the auxiliary particle filter
• Particle filters
• Sequential Monte Carlo Methods in Practice

Cited in

(3)

• Efficient Gibbs sampling for Markov switching GARCH models
• Antithetic multilevel sampling method for nonlinear functionals of measure
• Nonlinear and nonnormal filter using importance sampling: antithetic monte carlo integration

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