Uniform time average consistency of Monte Carlo particle filters

Ramon van Handel

Stochastic Processes and their Applications, 2009, vol. 119, issue 11, 3835-3861

Abstract: We prove that bootstrap-type Monte Carlo particle filters approximate the optimal nonlinear filter in a time average sense uniformly with respect to the time horizon when the signal is ergodic and the particle system satisfies a tightness property. The latter is satisfied without further assumptions when the signal state space is compact, as well as in the noncompact setting when the signal is geometrically ergodic and the observations satisfy additional regularity assumptions.

Keywords: Nonlinear; filter; Uniform; convergence; Interacting; particles; Bootstrap; Monte; Carlo; filter (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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