Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation

被引：2

作者：

Crisan, D ^{[1
]}

机构：

[1] Univ London Imperial Coll Sci Technol & Med, Dept Math, London SW7 2BZ, England

来源：

ANNALS OF PROBABILITY | 2003年 / 31卷 / 02期

关键词：

Zakai equation; branching algorithm; particle filters; filtering; Monte Carlo approximation;

D O I：

暂无

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：

In Crisan, Gaines and Lyons [SIAM J Appl. Probab. 58 (1998) 313-3421 we describe a branching particle algorithm that produces a particle approximation to the solution of the Zakai equation and find an upper bound for the rate of convergence of the mean square error. In this paper, the exact rate of convergence of the mean square error is deduced. Also, several variations of the branching algorithm with better rates of convergence are introduced.

引用

页码：693 / 718

页数：26

共 20 条

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