A uniformly convergent adaptive particle filter

DOI10.1239/jap/1134587816zbMath1102.60037OpenAlexW1971321106MaRDI QIDQ5476148

Anastasia Papavasiliou

Publication date: 29 June 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1134587816

zbMATH Keywords

Monte Carlo methodMarkov chainadaptive filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items

On robustness of discrete time optimal filters ⋮ Uniform approximations of discrete-time filters ⋮ Parameter estimation and asymptotic stability in stochastic filtering ⋮ Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state-space Markov models

Cites Work

• Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
• Parameter estimation and asymptotic stability in stochastic filtering
• A uniform convergence theorem for the numerical solving of the nonlinear filtering problem
• Approximation and Limit Results for Nonlinear Filters Over an Infinite Time Interval: Part II, Random Sampling Algorithms
• Particle Filtering for Partially Observed Gaussian State Space Models
• On the stability of measure valued processes with applications to filtering
• Unnamed Item
• Unnamed Item
• Unnamed Item