A note on auxiliary particle filters

被引：112

作者：

Johansen, Adam M. ^{[1
]}

Doucet, Arnaud ^{[2
,3
]}

机构：

[1] Univ Bristol, Dept Math, Bristol BS8 1TH, Avon, England

[2] Univ British Columbia, Dept Stat, Vancouver, BC V5Z 1M9, Canada

[3] Univ British Columbia, Dept Comp Sci, Vancouver, BC V5Z 1M9, Canada

来源：

STATISTICS & PROBABILITY LETTERS | 2008年 / 78卷 / 12期

基金：

英国工程与自然科学研究理事会;

关键词：

D O I：

10.1016/j.spl.2008.01.032

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The auxiliary particle filter (APF) introduced by Pitt and Shephard [Pitt, M.K., Shephard, N., 1999. Filtering via simulation: Auxiliary particle filters. J. Am. Statist. Ass. 94, 590-599] is a very popular alternative to Sequential Importance Sampling and Resampling (SISR) algorithms to perform inference in state-space models. We propose a novel interpretation of the APF as an SISR algorithm. This interpretation allows us to present simple guidelines to ensure good performance of the APF and the first convergence results for this algorithm. Additionally, we show that, contrary to popular belief, the asymptotic variance of APF-based estimators is not always smaller than those of the corresponding SISR estimators - even in the 'perfect adaptation' scenario. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：1498 / 1504

页数：7

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