Moderate deviations for particle filtering

DOI10.1214/105051604000000657MaRDI QIDQ1774189zbMATH OpenOpenAlexFDO

Authors Randal Douc, Arnaud Guillin, Jamal Najim

Publication date 29 April 2005

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0401058

Mathematics Subject Classification ID

Large deviations (60F10) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Abstract: Consider the state space model (X_t,Y_t), where (X_t) is a Markov chain, and (Y_t) are the observations. In order to solve the so-called filtering problem, one has to compute L(X_t|Y_1,...,Y_t), the law of X_t given the observations (Y_1,...,Y_t). The particle filtering method gives an approximation of the law L(X_t|Y_1,...,Y_t) by an empirical measure frac{1}{n}sum_1^ndelta_{x_{i,t}}. In this paper we establish the moderate deviation principle for the empirical mean frac{1}{n}sum_1^npsi(x_{i,t}) (centered and properly rescaled) when the number of particles grows to infinity, enhancing the central limit theorem. Several extensions and examples are also studied.

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Cited in

(4)

• Moderate deviation principle for stochastic reaction-diffusion systems with multiplicative noise and non-Lipschitz reaction
• Long-term stability of sequential Monte Carlo methods under verifiable conditions
• Moderate deviation principles for importance sampling estimators of risk measures
• Moderate Deviation for Parameter Estimation in the Rayleigh Diffusion Process

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