Uniform approximations of discrete-time filters

DOI10.1239/aap/1231340161zbMath1155.93039OpenAlexW2124505998MaRDI QIDQ3603194

Kari Heine, Dan Crisan

Publication date: 16 February 2009

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1231340161

zbMATH Keywords

uniform convergenceparticle filterMonte Carlo filterdiscrete-time filter

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Stochastic stability in control theory (93E15)

Related Items (10)

Stability properties of some particle filters ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ Particle-kernel estimation of the filter density in state-space models ⋮ Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions ⋮ Practical stability of approximating discrete-time filters with respect to model mismatch ⋮ On the stability of sequential Monte Carlo methods in high dimensions ⋮ Stable Approximation Schemes for Optimal Filters ⋮ Long-term stability of sequential Monte Carlo methods under verifiable conditions ⋮ On the convergence of two sequential Monte Carlo methods for maximum a posteriori sequence estimation and stochastic global optimization ⋮ Uniform Stability of a Particle Approximation of the Optimal Filter Derivative

Cites Work

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