On convergence of recursive Monte Carlo filters in non-compact state spaces

DOI10.5705/SS.2011.187MaRDI QIDQ4908799zbMATH OpenOpenAlexFDO

Authors Jing Lei, P. J. Bickel

Publication date 7 March 2013

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/60142ceba9eaf9865e177ccf041ca311cc661889

zbMATH Keywords

consistencyparticle filterstate space models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20)

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• Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state-space Markov models
• Recursive Monte Carlo filters: algorithms and theoretical analysis
• Long-time asymptotics of the filtering distribution for partially observed chaotic dynamical systems

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