Uniform time average consistency of Monte Carlo particle filters

DOI10.1016/j.spa.2009.09.004zbMath1176.93076arXiv0812.0350OpenAlexW1998445419MaRDI QIDQ1041052

Ramon van Handel

Publication date: 27 November 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.0350

zbMATH Keywords

uniform convergenceinteracting particlesnonlinear filterbootstrap Monte Carlo filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Stochastic particle methods (65C35) Infinite-dimensional random dynamical systems; stochastic equations (37L55)

Related Items (14)

An Introduction to Particle Methods with Financial Applications ⋮ Ergodicity, Decisions, and Partial Information ⋮ Stability properties of some particle filters ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ On the exchange of intersection and supremum of \({\sigma}\)-fields in filtering theory ⋮ Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae ⋮ Ergodicity and stability of the conditional distributions of nondegenerate Markov chains ⋮ Twisted particle filters ⋮ Sequential Monte Carlo smoothing for general state space hidden Markov models ⋮ Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions ⋮ Path storage in the particle filter ⋮ Stable Approximation Schemes for Optimal Filters ⋮ Adaptive invariant density estimation for continuous-time mixing Markov processes under sup-norm risk ⋮ Through the looking glass: indirect inference via simple equilibria

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