Multilevel Particle Filters
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Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Stochastic particle methods (65C35)
Abstract: In this paper the filtering of partially observed diffusions, with discrete-time observations, is considered. It is assumed that only biased approximations of the diffusion can be obtained, for choice of an accuracy parameter indexed by . A multilevel estimator is proposed, consisting of a telescopic sum of increment estimators associated to the successive levels. The work associated to mean-square error between the multilevel estimator and average with respect to the filtering distribution is shown to scale optimally, for example as for optimal rates of convergence of the underlying diffusion approximation. The method is illustrated on some toy examples as well as estimation of interest rate based on real S&P 500 stock price data.
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Cited in
(59)- On coupling particle filter trajectories
- Multilevel particle filters: normalizing constant estimation
- Multilevel ensemble Kalman filtering for spatio-temporal processes
- Markov chain simulation for multilevel Monte Carlo
- Multi-index ensemble Kalman filtering
- Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization
- Unbiased estimation using a class of diffusion processes
- Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling
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- Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models
- Kernel learning backward SDE filter for data assimilation
- Unbiased approximation of posteriors via coupled particle Markov chain Monte Carlo
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- Central limit theorems for multilevel Monte Carlo methods
- Multilevel particle filters for Lévy-driven stochastic differential equations
- Multilevel ensemble transform particle filtering
- Multilevel ensemble Kalman filtering
- Multilevel Monte Carlo for smoothing via transport methods
- A seamless multilevel ensemble transform particle filter
- Multilevel Particle Filters
- Bayesian static parameter estimation for partially observed diffusions via multilevel Monte Carlo
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- On backward smoothing algorithms
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- A spatial-domain multiresolutional particle filter with thresholded wavelets
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