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Pré-Publication, Document De Travail Année : 2007

On the auxiliary particle filter

Résumé

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.
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Dates et versions

hal-00174161 , version 1 (21-09-2007)

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Randal Douc, Eric Moulines, Jimmy Olsson. On the auxiliary particle filter. 2007. ⟨hal-00174161⟩
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