@inproceedings{9d9f233c94ce4aa39b670df4396e0ab7,
title = "Improving the performance of the two-stage sampling particle filter: A statistical perspective",
abstract = "In this paper we study asymptotic properties of weighted samples produced by the two-stage sampling (TSS) particle filter, which is a generalization of the auxiliary particle filter proposed by [1]. Besides establishing a central limit theorem (CLT) for the particle estimator of the smoothing measure, we also present bounds on the Lp error and bias of the same for a nite particle sample size. The main contribution of this article, being based on [2], is the identification of first-stage importance weights for which the increase of asymptotic variance of the CLT at a single iteration of the algorithm is minimal. Finally, we let a simple numerical example illustrate our findings.",
keywords = "Auxiliary particle filter, CLT, Sequential Monte Carlo, State space models, Two-stage sampling",
author = "Jimmy Olsson and {\'E}ric Moulines and Randal Douc",
year = "2007",
month = dec,
day = "1",
doi = "10.1109/SSP.2007.4301264",
language = "English",
isbn = "142441198X",
series = "IEEE Workshop on Statistical Signal Processing Proceedings",
pages = "284--288",
booktitle = "2007 IEEE/SP 14th Workshop on Statistical Signal Processing, SSP 2007, Proceedings",
note = "2007 IEEE/SP 14th WorkShoP on Statistical Signal Processing, SSP 2007 ; Conference date: 26-08-2007 Through 29-08-2007",
}