On the asymptotic variance in the central limit theorem for particle filters

DOI10.1051/ps/2010019zbMath1273.60046OpenAlexW1982624367MaRDI QIDQ4921831

Benjamin Favetto

Publication date: 14 May 2013

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ps/2010019

zbMATH Keywords

hidden Markov modelcentral limit theoremasymptotic variancetightnessparticle filtersequential Monte-Carlo

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (3)

Fluctuations, stability and instability of a distributed particle filter with local exchange ⋮ Stability properties of some particle filters ⋮ Twisted particle filters

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