Article ID Journal Published Year Pages File Type
1155894 Stochastic Processes and their Applications 2009 27 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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