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A lognormal central limit theorem for particle approximations of normalizing constants

Abstract:

Feynman-Kac models arise in a large variety of scientific disciplines including physics, chemistry and signal processing. Their mean field particle interpretations, termed commonly Sequential Monte Carlo or Particle Filters, have found numerous applications as they allow to sample approximately from sequences of complex probability distributions and estimate their associated normalizing constants. It is well-known that, under regularity assumptions, the relative variance of these normalizing ...

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Publisher copy:
10.1214/EJP.v19-3428

Authors


Bérard, J More by this author
del Moral, P More by this author
Publisher:
University of Washington
Journal:
Electronic Journal of Probability
Volume:
19
Issue:
0
Pages:
1-28
Publication date:
2014
DOI:
EISSN:
1083-6489
URN:
uuid:27dc049e-94d2-47ff-b558-71dc6de442a1
Source identifiers:
488063
Local pid:
pubs:488063

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