Johansen, Adam M. and Doucet, Arnaud (2008) A note on auxiliary particle filters. Statistics & Probability Letters, Vol.78 (No.12). pp. 1498-1504. doi:10.1016/j.spl.2008.01.032

Preview

PDF WRAP_Johansen_JD08.pdf - Submitted Version - Requires a PDF viewer. Download (212Kb)

Request Changes to record.

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
DOI:	10.1016/j.spl.2008.01.032
Status:	Peer Reviewed
Access rights to Published version:	Restricted or Subscription Access

Request changes or add full text files to a record

Repository staff actions (login required)

View Item

Downloads