Journal article
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
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Authors
Bibliographic Details
- Publisher:
- University of Washington
- Journal:
- Electronic Journal of Probability
- Volume:
- 19
- Issue:
- 0
- Pages:
- 1-28
- Publication date:
- 2014-01-01
- DOI:
- EISSN:
-
1083-6489
- Source identifiers:
-
488063
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
pubs:488063
- UUID:
-
uuid:27dc049e-94d2-47ff-b558-71dc6de442a1
- Local pid:
- pubs:488063
- Deposit date:
- 2014-11-11
Terms of use
- Copyright date:
- 2014
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