A Wasserstein coupled particle filter for multilevel estimation

DOI10.1080/07362994.2022.2081181arXiv2004.03981OpenAlexW3015592047MaRDI QIDQ6073377

Ajay Jasra, Erik von Schwerin, Raúl Tempone, Marco Ballesio

Publication date: 17 October 2023

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

Full work available at URL: https://arxiv.org/abs/2004.03981

zbMATH Keywords

filteringdiffusionsparticle filtersmultilevel Monte Carlo

Mathematics Subject Classification ID

Statistics (62-XX) Systems theory; control (93-XX)

Cites Work

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• Multilevel Monte Carlo method for ergodic SDEs without contractivity
• Multilevel Ensemble Transform Particle Filtering
• Multilevel Monte Carlo Path Simulation
• Particle Filters for Partially Observed Diffusions
• Multilevel Monte Carlo for Smoothing via Transport Methods
• Multilevel Particle Filters
• Bayesian Static Parameter Estimation for Partially Observed Diffusions via Multilevel Monte Carlo
• Unbiased Inference for Discretely Observed Hidden Markov Model Diffusions
• Central limit theorems for coupled particle filters
• The Monte-Carlo method for filtering with discrete-time observations

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