Long-term stability of sequential Monte Carlo methods under verifiable conditions - Archive ouverte HAL
Article Dans Une Revue The Annals of Applied Probability Année : 2014

Long-term stability of sequential Monte Carlo methods under verifiable conditions

Résumé

This paper discusses particle filtering in general hidden Markov models (HMMs) and presents novel theoretical results on the longterm stability of bootstrap-type particle filters. More specifically, we establish that the asymptotic variance of the Monte Carlo estimates produced by the bootstrap filter is uniformly bounded in time. On the contrary to most previous results of this type, which in general presuppose that the state space of the hidden state process is compact (an assumption that is rarely satisfied in practice), our very mild assumptions are satisfied for a large class of HMMs with possibly noncompact state space. In addition, we derive a similar time uniform bound on the asymptotic Lp error. Importantly, our results hold for misspecified models; that is, we do not at all assume that the data entering into the particle filter originate from the model governing the dynamics of the particles or not even from an HMM

Dates et versions

hal-01262408 , version 1 (26-01-2016)

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Citer

Randal Douc, Éric Moulines, Jimmy Olsson. Long-term stability of sequential Monte Carlo methods under verifiable conditions. The Annals of Applied Probability, 2014, 24 (5), pp.1767 - 1802. ⟨10.1214/13-AAP962⟩. ⟨hal-01262408⟩
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