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On the auxiliary particle filter

Abstract : In this article we study asymptotic properties of weighted samples produced by the auxiliary particle filter (APF) proposed by pitt and shephard (1999). Besides establishing a central limit theorem (CLT) for smoothed particle estimates, we also derive bounds on the Lp error and bias of the same for a finite particle sample size. By examining the recursive formula for the asymptotic variance of the CLT we identify first-stage importance weights for which the increase of asymptotic variance at a single iteration of the algorithm is minimal. In the light of these findings, we discuss and demonstrate on several examples how the APF algorithm can be improved.
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https://hal.archives-ouvertes.fr/hal-00174161
Contributor : Jimmy Olsson <>
Submitted on : Friday, September 21, 2007 - 4:07:24 PM
Last modification on : Friday, July 31, 2020 - 10:44:06 AM
Long-term archiving on: : Thursday, April 8, 2010 - 10:07:55 PM

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  • HAL Id : hal-00174161, version 1
  • ARXIV : 0709.3448

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Randal Douc, Eric Moulines, Jimmy Olsson. On the auxiliary particle filter. 2007. ⟨hal-00174161⟩

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