A note on auxiliary particle filters

Adam Johansen and Arnaud Doucet

Statistics & Probability Letters, 2008, vol. 78, issue 12, 1498-1504

Abstract: 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 APFÂ as an SISRÂ 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.

Date: 2008
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Citations: View citations in EconPapers (8)

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