Abstract
Consider the state space model (Xt,Yt), where (Xt) is a Markov chain, and (Yt) are the observations. In order to solve the so-called filtering problem, one has to compute ℒ(Xt|Y1,…,Yt), the law of Xt given the observations (Y1,…,Yt). The particle filtering method gives an approximation of the law ℒ(Xt|Y1,…,Yt) by an empirical measure
Citation
R. Douc. A. Guillin. J. Najim. "Moderate deviations for particle filtering." Ann. Appl. Probab. 15 (1B) 587 - 614, February 2005. https://doi.org/10.1214/105051604000000657
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