The Library
A note on auxiliary particle filters
Tools
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 ISSN 01677152.
|
PDF
WRAP_Johansen_JD08.pdf - Submitted Version - Requires a PDF viewer. Download (212Kb) |
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, Engineering and Medicine > 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: |
|
||||
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
Downloads per month over past year