Variance estimation in adaptive sequential Monte Carlo
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Publication:2240843
DOI10.1214/20-AAP1611MaRDI QIDQ2240843
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
central limit theoremsequential Monte Carlointeracting particle systemsvariance estimationFeynman-Kac semigroups
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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