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A note on auxiliary particle filters

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Johansen, Adam M. and Doucet, Arnaud. (2008) A note on auxiliary particle filters. Statistics & Probability Letters, Vol.78 (No.12). pp. 1498-1504. ISSN 01677152

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Official URL: http://dx.doi.org/10.1016/j.spl.2008.01.032

Abstract

The Auxiliary Particle Filter (APF) introduced by Pitt and Shephard (1999) is a
very popular alternative to Sequential Importance Sampling and Resampling (SISR)
algorithms to perform inference in state-space models. We propose a novel interpretation of the APF as an SISR algorithm. This interpretation allows us to present
simple guidelines to ensure good performance of the APF and the first convergence
results for this algorithm. Additionally, we show that, contrary to popular belief,
the asymptotic variance of APF-based estimators is not always smaller than those
of the corresponding SISR estimators – even in the ‘perfect adaptation’ scenario.

Item Type:

Journal Article

Subjects:

Q Science > QA Mathematics

Divisions:

Faculty of Science > Statistics

Library of Congress Subject Headings (LCSH):

Filters (Mathematics), State-space methods, Inference

Journal or Publication Title:

Statistics & Probability Letters

Publisher:

Elsevier Science BV

ISSN:

01677152

Official Date:

1 September 2008

Dates:

Date	Event
1 September 2008	Published

Volume:

Vol.78

Number:

No.12

Page Range:

pp. 1498-1504

Identification Number:

10.1016/j.spl.2008.01.032

Status:

Peer Reviewed

Access rights to Published version:

Restricted or Subscription Access

References:

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