Open Access
October 2014 Long-term stability of sequential Monte Carlo methods under verifiable conditions
Randal Douc, Eric Moulines, Jimmy Olsson
Ann. Appl. Probab. 24(5): 1767-1802 (October 2014). DOI: 10.1214/13-AAP962
Abstract

This paper discusses particle filtering in general hidden Markov models (HMMs) and presents novel theoretical results on the long-term 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 $\mathsf{L}^{p}$ 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.

Copyright © 2014 Institute of Mathematical Statistics
Randal Douc, Eric Moulines, and Jimmy Olsson "Long-term stability of sequential Monte Carlo methods under verifiable conditions," The Annals of Applied Probability 24(5), 1767-1802, (October 2014). https://doi.org/10.1214/13-AAP962
Published: October 2014
Vol.24 • No. 5 • October 2014
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