On convergence of kernel density estimates in particle filtering.

DOI10.14736/KYB-2016-5-0735MaRDI QIDQ2956002zbMATH OpenOpenAlexFDO

Authors David Coufal

Publication date 13 January 2017

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1402.3466, http://hdl.handle.net/10338.dmlcz/145966

zbMATH Keywords

kernel methodsparticle filterFourier analysis

Mathematics Subject Classification ID

Stochastic particle methods (65C35)

Abstract: The paper deals with kernel density estimates of filtering densities in the particle filter. The convergence of the estimates is investigated by means of Fourier analysis. It is shown that the estimates converge to the theoretical filtering densities in the mean integrated squared error under a certain assumption on the Sobolev character of the filtering densities. A sufficient condition is presented for the persistence of this Sobolev character over time. Both results are extended to partial derivatives of the estimates and filtering densities.

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