StochastikKolloquium Particle filters and variance estimation |  |
Speaker:Dr. Anthony Lee, University of Bristol
Organizer:Institut für Mathematische Stochastik
Details:
Particle filters, or sequential Monte Carlo methods, are random algorithms for approximating certain types of integrals that arise in the analysis of data. I will introduce these methods, and present new variance estimators for the resulting approximations that can be computed using a single run of the algorithm. As the number of particles grows, the estimators are weakly consistent for asymptotic variances of the Monte Carlo approximations and some of them are also non-asymptotically unbiased. The asymptotic variances can be decomposed into terms corresponding to each time step of the algorithm, and we show how to estimate each of these terms consistently.
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Type:Colloquium
Language:English
Category:Research
Host:Dozenten des Instituts für Mathematische Stochastik
External link:http://www.stochastik.math.uni-goettingen.de/
Additional information:Download PDF attachment
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Direct link to event:https://events.goettingen-campus.de/event?eventId=10816
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