A note on auxiliary particle filters
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 inf...
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| Format: | Journal article |
| Language: | English |
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2008
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| _version_ | 1797077080781881344 |
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| author | Johansen, A Doucet, A |
| author_facet | Johansen, A Doucet, A |
| author_sort | Johansen, A |
| collection | OXFORD |
| description | 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. © 2008 Elsevier B.V. All rights reserved. |
| first_indexed | 2024-03-07T00:12:42Z |
| format | Journal article |
| id | oxford-uuid:79c74261-8dd5-4ea0-a26d-4a51c8668ced |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T00:12:42Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | oxford-uuid:79c74261-8dd5-4ea0-a26d-4a51c8668ced2022-03-26T20:39:34ZA note on auxiliary particle filtersJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:79c74261-8dd5-4ea0-a26d-4a51c8668cedEnglishSymplectic Elements at Oxford2008Johansen, ADoucet, AThe 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. © 2008 Elsevier B.V. All rights reserved. |
| spellingShingle | Johansen, A Doucet, A A note on auxiliary particle filters |
| title | A note on auxiliary particle filters |
| title_full | A note on auxiliary particle filters |
| title_fullStr | A note on auxiliary particle filters |
| title_full_unstemmed | A note on auxiliary particle filters |
| title_short | A note on auxiliary particle filters |
| title_sort | note on auxiliary particle filters |
| work_keys_str_mv | AT johansena anoteonauxiliaryparticlefilters AT douceta anoteonauxiliaryparticlefilters AT johansena noteonauxiliaryparticlefilters AT douceta noteonauxiliaryparticlefilters |