Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo

DOI10.1214/19-AOS1823zbMath1462.60051arXiv1804.01811OpenAlexW3008585422MaRDI QIDQ2176634

Paul A. Jenkins, Jere Koskela, Adam M. Johansen, Dario Spanò

Publication date: 5 May 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.01811

zbMATH Keywords

coalescentgenealogysequential Monte Carlointeracting particle systemfinite-dimensional distributions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Coalescent processes (60J90)

Related Items (7)

Weak convergence of non-neutral genealogies to Kingman's coalescent ⋮ Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach ⋮ Fast and Numerically Stable Particle-Based Online Additive Smoothing: The AdaSmooth Algorithm ⋮ Adaptive online variance estimation in particle filters: the ALVar estimator ⋮ Simple conditions for convergence of sequential Monte Carlo genealogies with applications ⋮ Sequential sampling of junction trees for decomposable graphs ⋮ Erratum to: ``Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo

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