Variance estimation in adaptive sequential Monte Carlo

DOI10.1214/20-AAP1611MaRDI QIDQ2240843

Arnaud Guyader, Qiming Du

Publication date: 4 November 2021

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

Full work available at URL: https://arxiv.org/abs/1909.13602

zbMATH Keywords

central limit theoremsequential Monte Carlointeracting particle systemsvariance estimationFeynman-Kac semigroups

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Schrödinger and Feynman-Kac semigroups (47D08) Stochastic particle methods (65C35)

Related Items (3)

An Invitation to Sequential Monte Carlo Samplers ⋮ Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach ⋮ Adaptive online variance estimation in particle filters: the ALVar estimator

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