61 citations · 294 across the 31 of their papers we have counts for
4 papers · 2 filters
Error Bounds and Normalizing Constants for Sequential Monte Carlo in High Dimensions
Alexandros Beskos, Dan Crisan, Ajay Jasra +1
In a recent paper Beskos et al (2011), the Sequential Monte Carlo (SMC) sampler introduced in Del Moral et al (2006), Neal (2001) has been shown to be asymptotically stable in the…
Stability properties of some particle filters
Nick Whiteley
Under multiplicative drift and other regularity conditions, it is established that the asymptotic variance associated with a particle filter approximation of the prediction filter…
Linear Variance Bounds for Particle Approximations of Time-Homogeneous Feynman-Kac Formulae
Nick Whiteley, Nikolas Kantas, Ajay Jasra
This article establishes sufficient conditions for a linear-in-time bound on the non-asymptotic variance of particle approximations of time-homogeneous Feynman-Kac formulae. These…
Sequential Monte Carlo samplers: error bounds and insensitivity to initial conditions
Nick Whiteley
This paper addresses finite sample stability properties of sequential Monte Carlo methods for approximating sequences of probability distributions. The results presented herein are…