Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach

DOI10.3150/23-bej1586arXiv2204.01401OpenAlexW4283728449MaRDI QIDQ6120821

Yohan Petetin, Sylvain Le Corff, Yazid Janati El Idrissi

Publication date: 26 March 2024

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2204.01401

zbMATH Keywords

central limit theoremasymptotic variancesequential Monte Carlo methodsparticle filteringparticle smoothing

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov processes: estimation; hidden Markov models (62M05)

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