Convergence rates for residual branching particle filters

DOI10.1016/J.JMAA.2016.12.046zbMATH Open1376.60076OpenAlexW2564614877MaRDI QIDQ508964FDOQ508964

Authors: Michael A. Kouritzin 

Publication date: 8 February 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.12.046

Recommendations

• Residual and stratified branching particle filters
• Rates for branching particle approximations of continuous-discrete filters
• Particle filters with random resampling times
• scientific article; zbMATH DE number 1358322
• On resampling schemes for particle filters with weakly informative observations

zbMATH Keywords

sequential Monte Carlocentral limit theoremcouplingbranching processMcKean-Vlasov particle systemMarcinkiewicz strong laws of large numbers

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Cites Work

• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
• Particle representations for a class of nonlinear SPDEs
• A martingale approach to central limit theorems for exchangeable random variables
• Nonlinear filtering and measure-valued processes
• Monte Carlo techniques to estimate the conditional expectation in multi-stage non-linear filtering†
• Dynamic filtering of static dipoles in magnetoencephalography
• Title not available (Why is that?)
• BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
• On the interrelation of almost sure invariance principles for certain stochastic adaptive algorithms and for partial sums of random variables
• Residual and stratified branching particle filters
• Microstructure models with short-term inertia and stochastic volatility
• Rates for branching particle approximations of continuous-discrete filters
• Monte Carlo technique for prediction and filtering of non-linear stochastic processes
• On convergence determining and separating classes of functions
• Tracking rapid intracellular movements: a Bayesian random set approach

Cited In (5)

• Convergence rates of kernel density estimates in particle filtering
• Rates for branching particle approximations of continuous-discrete filters
• VIX-linked fees for GMWBs via explicit solution simulation methods
• BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES
• Convergence of the Markov Chain Distributed Particle Filter (MCDPF)

This page was built for publication: Convergence rates for residual branching particle filters

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q508964)