Antithetic sampling for sequential Monte Carlo methods with application to state-space models

DOI10.1007/s10463-015-0524-yzbMath1400.65007OpenAlexW1641111845MaRDI QIDQ314578

Svetlana Bizjajeva, Jimmy Olsson

Publication date: 16 September 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-015-0524-y

zbMATH Keywords

central limit theoremoptimal filteringstate-space modelsparticle filterantithetic samplingoptimal kernel

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05)

Related Items (1)

Efficient Gibbs sampling for Markov switching GARCH models

Cites Work

• Particle filters
• Adaptive sequential Monte Carlo by means of mixture of experts
• Limit theorems for weighted samples with applications to sequential Monte Carlo methods
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• Multiprocess parallel antithetic coupling for backward and forward Markov chain Monte Carlo
• Inference in hidden Markov models.
• Sequential Monte Carlo Methods in Practice
• On the auxiliary particle filter
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Filtering via Simulation: Auxiliary Particle Filters
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