Particle filters with random resampling times

DOI10.1016/j.spa.2011.12.012zbMath1246.60063MaRDI QIDQ424474

J. Herrera, H. S. Yoon

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.12.012

zbMATH Keywords

resampling; filtering; central limit theorem; stochastic partial differential equation; particle filters; Zakai equation; coefficient of variation; effective sample size; random times; resampling times; sequential Monte-Carlo methods; soft maximum

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

93E11: Filtering in stochastic control theory

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

60G40: Stopping times; optimal stopping problems; gambling theory

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

60F25: (L^p)-limit theorems