Non-asymptotic deviation inequalities for smoothed additive functionals in non-linear state-space models. - Archive ouverte HAL
Article Dans Une Revue Bernoulli Année : 2013

Non-asymptotic deviation inequalities for smoothed additive functionals in non-linear state-space models.

Résumé

The approximation of fixed-interval smoothing distributions is a key issue in inference for general state-space hidden Markov models (HMM). This contribution establishes non-asymptotic bounds for the Forward Filtering Backward Smoothing (FFBS) and the Forward Filtering Backward Simulation (FFBSi) estimators of fixed-interval smoothing functionals. We show that the rate of convergence of the Lq-mean errors of both methods depends on the number of observations T and the number of particles N only through the ratio T/N for additive functionals. In the case of the FFBS, this improves recent results providing bounds depending on T and the square root of N.
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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.. Bernoulli, 2013, 19 (5B), pp.2222-2249. ⟨hal-00548092v2⟩
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