Sequential Monte Carlo smoothing for general state space hidden Markov models

DOI10.1214/10-AAP735zbMATH Open1237.60026arXiv1202.2945OpenAlexW1965828084MaRDI QIDQ657691FDOQ657691

Authors: Randal Douc, Aurélien Garivier, Jimmy Olsson, Eric Moulines 

Publication date: 10 January 2012

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

Abstract: Computing smoothing distributions, the distributions of one or more states conditional on past, present, and future observations is a recurring problem when operating on general hidden Markov models. The aim of this paper is to provide a foundation of particle-based approximation of such distributions and to analyze, in a common unifying framework, different schemes producing such approximations. In this setting, general convergence results, including exponential deviation inequalities and central limit theorems, are established. In particular, time uniform bounds on the marginal smoothing error are obtained under appropriate mixing conditions on the transition kernel of the latent chain. In addition, we propose an algorithm approximating the joint smoothing distribution at a cost that grows only linearly with the number of particles.

Full work available at URL: https://arxiv.org/abs/1202.2945

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zbMATH Keywords

smoothingparticle filterhidden Markov modelssequential Monte Carlo methods

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

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Cited In (46)

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