Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach
From MaRDI portal
Abstract: In this paper, we consider the problem of online asymptotic variance estimation for particle filtering and smoothing. Current solutions for the particle filter rely on the particle genealogy and are either unstable or hard to tune in practice. We propose to mitigate these limitations by introducing a new estimator of the asymptotic variance based on the so called backward weights. The resulting estimator is weakly consistent and trades computational cost for more stability and reduced variance. We also propose a more computationally efficient estimator inspired by the PaRIS algorithm of Olsson & Westerborn. As an application, particle smoothing is considered and an estimator of the asymptotic variance of the Forward Filtering Backward Smoothing estimator applied to additive functionals is provided.
Cites work
- A backward particle interpretation of Feynman-Kac formulae
- A general theory of particle filters in hidden Markov models and some applications
- A nonasymptotic theorem for unnormalized Feynman-Kac particle models
- A pseudo-marginal sequential Monte Carlo online smoothing algorithm
- A sequential smoothing algorithm with linear computational cost
- An introduction to sequential Monte Carlo
- Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo
- Central limit theorem for nonlinear filtering and interacting particle systems
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Coupled conditional backward sampling particle filter
- Efficient particle-based online smoothing in general hidden Markov models: the PaRIS algorithm
- Filtering via Simulation: Auxiliary Particle Filters
- scientific article; zbMATH DE number 2106098 (Why is no real title available?)
- Inference in hidden Markov models.
- Monte Carlo Smoothing for Nonlinear Time Series
- Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models
- Nonlinear time series. Theory, methods and applications with R examples
- Numerically stable online estimation of variance in particle filters
- On particle Gibbs sampling
- On particle methods for parameter estimation in state-space models
- Particle approximations of the score and observed information matrix in state space models with application to parameter estimation
- Particle Markov Chain Monte Carlo Methods
- Recursive Monte Carlo filters: algorithms and theoretical analysis
- Sequential Monte Carlo smoothing for general state space hidden Markov models
- Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
- Uniform ergodicity of the iterated conditional SMC and geometric ergodicity of particle Gibbs samplers
- Variance estimation in adaptive sequential Monte Carlo
- Variance estimation in the particle filter
This page was built for publication: Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6120821)
