Stability properties of some particle filters

DOI10.1214/12-AAP909zbMath1296.60098arXiv1109.6779MaRDI QIDQ389073

Nick Whiteley

Publication date: 17 January 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.6779

zbMATH Keywords

stability; hidden Markov model; approximation; Markov chain; filtering; sequential Monte Carlo; particle filter

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

93B35: Sensitivity (robustness)

93E10: Estimation and detection in stochastic control theory

60G35: Signal detection and filtering (aspects of stochastic processes)

60K35: Interacting random processes; statistical mechanics type models; percolation theory

93D20: Asymptotic stability in control theory

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

65C40: Numerical analysis or methods applied to Markov chains

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