Variance estimation in the particle filter
From MaRDI portal
Abstract: This paper concerns numerical assessment of Monte Carlo error in particle filters. We show that by keeping track of certain key features of the genealogical structure arising from resampling operations, it is possible to estimate variances of a number of standard Monte Carlo approximations which particle filters deliver. All our estimators can be computed from a single run of a particle filter with no further simulation. We establish that as the number of particles grows, our estimators are weakly consistent for asymptotic variances of the Monte Carlo approximations and some of them are also non-asymptotically unbiased. The asymptotic variances can be decomposed into terms corresponding to each time step of the algorithm, and we show how to consistently estimate each of these terms. When the number of particles may vary over time, this allows approximation of the asymptotically optimal allocation of particle numbers.
Recommendations
- Numerically stable online estimation of variance in particle filters
- Adaptive online variance estimation in particle filters: the ALVar estimator
- A general theory of particle filters in hidden Markov models and some applications
- A uniformly convergent adaptive particle filter
- On the asymptotic variance in the central limit theorem for particle filters
Cited in
(27)- An algorithm for approximating the second moment of the normalizing constant estimate from a particle filter
- Numerically stable online estimation of variance in particle filters
- Optimal potential functions for the interacting particle system method
- Simple conditions for convergence of sequential Monte Carlo genealogies with applications
- On the performance of particle filters with adaptive number of particles
- Sequential ensemble transform for Bayesian inverse problems
- Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo
- Variance estimation in adaptive sequential Monte Carlo
- Sequential Monte Carlo with transformations
- Twisted particle filters
- Vectorized and parallel particle filter SMC parameter estimation for stiff ODEs
- Adaptive particle allocation in iterated sequential Monte Carlo via approximating meta-models
- Linear multistep methods, particle filtering and sequential Monte Carlo
- On the auxiliary particle filter
- On the asymptotic variance in the central limit theorem for particle filters
- Global Consensus Monte Carlo
- On the two-filter approximations of marginal smoothing distributions in general state-space models
- Application of the interacting particle system method to piecewise deterministic Markov processes used in reliability
- Adaptive multilevel splitting: historical perspective and recent results
- Sequential Monte Carlo for Sampling Balanced and Compact Redistricting Plans
- An Invitation to Sequential Monte Carlo Samplers
- Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach
- The divide-and-conquer sequential Monte Carlo algorithm: theoretical properties and limit theorems
- Adaptive online variance estimation in particle filters: the ALVar estimator
- Automatically adapting the number of state particles in \(\text{SMC}^2\)
- Some models are useful, but how do we know which ones? Towards a unified Bayesian model taxonomy
- Large-sample analysis of cost functionals for inference under the coalescent
This page was built for publication: Variance estimation in the particle filter
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4561015)
