Particle filters with random resampling times

DOI10.1016/j.spa.2011.12.012zbMath1246.60063OpenAlexW1992434386MaRDI QIDQ424474

J. Herrera, H. S. Yoon

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.12.012

zbMATH Keywords

resamplingfilteringcentral limit theoremstochastic partial differential equationparticle filtersZakai equationcoefficient of variationeffective sample sizerandom timesresampling timessequential Monte-Carlo methodssoft maximum

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) (L^p)-limit theorems (60F25)

Related Items

Fluctuations, stability and instability of a distributed particle filter with local exchange, Splitting-up spectral method for nonlinear filtering problems with correlation noises, Particle filters with random resampling times, A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems, On the role of interaction in sequential Monte Carlo algorithms, Generalised particle filters with Gaussian mixtures

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