On the auxiliary particle filter
| dc.creator | Douc, Randal | |
| dc.creator | Moulines, Eric | |
| dc.creator | Olsson, Jimmy | |
| dc.date | 2007-09-21 | |
| dc.date.accessioned | 2026-07-07T08:31:31Z | |
| dc.date.available | 2026-07-07T08:31:31Z | |
| dc.description | In this article we study asymptotic properties of weighted samples produced by the auxiliary particle filter (APF) proposed by pitt and shephard (1999). Besides establishing a central limit theorem (CLT) for smoothed particle estimates, we also derive bounds on the Lp error and bias of the same for a finite particle sample size. By examining the recursive formula for the asymptotic variance of the CLT we identify first-stage importance weights for which the increase of asymptotic variance at a single iteration of the algorithm is minimal. In the light of these findings, we discuss and demonstrate on several examples how the APF algorithm can be improved. | |
| dc.description | 26 pages | |
| dc.identifier | https://arxiv.org/abs/0709.3448 | |
| dc.identifier | http://arxiv.org/abs/0709.3448 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/138522 | |
| dc.subject | Statistics Theory | |
| dc.subject | Primary 65C05; Secondary 65C60 | |
| dc.title | On the auxiliary particle filter | |
| dc.type | text |