Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models

DOI10.3150/12-BEJ450zbMath1411.60116arXiv1012.4183MaRDI QIDQ2435241

Sylvain Le Corff, Cyrille Dubarry

Publication date: 4 February 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.4183

zbMATH Keywords

additive functionals; sequential Monte Carlo methods; deviation inequalities; FFBS; FFBSi; particle-based approximations

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

62M05: Markov processes: estimation; hidden Markov models

60J55: Local time and additive functionals

Related Items

On the two-filter approximations of marginal smoothing distributions in general state-space models, Online expectation maximization based algorithms for inference in hidden Markov models, On the Behaviour of the Backward Interpretation of Feynman-Kac Formulae Under Verifiable Conditions

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