Numerically stable online estimation of variance in particle filters

DOI10.3150/18-BEJ1028zbMath1426.62246arXiv1701.01001WikidataQ128249301 ScholiaQ128249301MaRDI QIDQ1740533

Jimmy Olsson, Randal Douc

Publication date: 30 April 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.01001

zbMATH Keywords

asymptotic variancehidden Markov modelsstate-space modelsparticle filtersvariance estimationsequential Monte Carlo methodsFeynman-Kac models

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Inference from stochastic processes and prediction (62M20) Markov processes: estimation; hidden Markov models (62M05)

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Sequential ensemble transform for Bayesian inverse problems ⋮ Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo ⋮ Weak convergence of non-neutral genealogies to Kingman's coalescent ⋮ Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach ⋮ Fast and Numerically Stable Particle-Based Online Additive Smoothing: The AdaSmooth Algorithm ⋮ Adaptive online variance estimation in particle filters: the ALVar estimator ⋮ Variance estimation in adaptive sequential Monte Carlo ⋮ Sequential Monte Carlo for Sampling Balanced and Compact Redistricting Plans ⋮ Simple conditions for convergence of sequential Monte Carlo genealogies with applications ⋮ On the two-filter approximations of marginal smoothing distributions in general state-space models

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