Non-asymptotic deviation inequalities for smoothed additive functionals in non-linear state-space models with applications to parameter estimation - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2010

Non-asymptotic deviation inequalities for smoothed additive functionals in non-linear state-space models with applications to parameter estimation

Résumé

Approximating joint smoothing distributions using particle-based methods is a well-known issue in statistical inference when operating on general state space hidden Markov models (HMM). In this paper we focus on non-asymptotic bounds for the error generated by the computation of smoothed additive functionals. More precisely, this contribution provides new results on the forward filtering backward smoothing (FFBS) Lq-mean errors under appropriate mixing conditions on the Markov kernel's probability density function. The algorithm used has a computational complexity depending linearly on TN where T is the number of observations and N the number of particles. The main improvement concerns the rate of convergence of these norms which depends on T and N only through the ratio T/N for additive functionals (i.e. with norm proportional to T). This paper relies mainly on recent exponential deviation inequalities on the smoothing error.
Fichier principal
Vignette du fichier
FFBSims.pdf (423.72 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-00548092 , version 1 (18-12-2010)
hal-00548092 , version 2 (25-04-2012)

Identifiants

Citer

Cyrille Dubarry, Sylvain Le Corff. Non-asymptotic deviation inequalities for smoothed additive functionals in non-linear state-space models with applications to parameter estimation. 2010. ⟨hal-00548092v1⟩
179 Consultations
155 Téléchargements

Altmetric

Partager

More