On the asymptotic variance in the central limit theorem for particle filters
نویسندگان
چکیده
منابع مشابه
On the asymptotic variance in the Central Limit Theorem for particle filters
Particle filters algorithms approximate a sequence of distributions by a sequence of empirical measures generated by a population of simulated particles. In the context of Hidden Markov Models (HMM), they provide approximations of the distribution of optimal filters associated to these models. Given a set of observations, the asymptotic behaviour of particle filters, as the number of particles ...
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ژورنال
عنوان ژورنال: ESAIM: Probability and Statistics
سال: 2012
ISSN: 1292-8100,1262-3318
DOI: 10.1051/ps/2010019