Stability properties of some particle filters
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Publication:389073
DOI10.1214/12-AAP909zbMATH Open1296.60098arXiv1109.6779OpenAlexW3101274747MaRDI QIDQ389073FDOQ389073
Authors: Nick Whiteley 
Publication date: 17 January 2014
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: Under multiplicative drift and other regularity conditions, it is established that the asymptotic variance associated with a particle filter approximation of the prediction filter is bounded uniformly in time, and the nonasymptotic, relative variance associated with a particle approximation of the normalizing constant is bounded linearly in time. The conditions are demonstrated to hold for some hidden Markov models on noncompact state spaces. The particle stability results are obtained by proving -norm multiplicative stability and exponential moment results for the underlying Feynman-Kac formulas.
Full work available at URL: https://arxiv.org/abs/1109.6779
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- scientific article; zbMATH DE number 5919871
Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical analysis or methods applied to Markov chains (65C40) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Sensitivity (robustness) (93B35) Asymptotic stability in control theory (93D20) Estimation and detection in stochastic control theory (93E10)
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