A general theory of particle filters in hidden Markov models and some applications
The Annals of Statistics · 2013 · Volume 41 · Issue 6
Abstract
By making use of martingale representations, we derive the asymptotic normality of particle filters in hidden Markov models and a relatively simple formula for their asymptotic variances. Although repeated resamplings result in complicated dependence among the sample paths, the asymptotic variance formula and martingale representations lead to consistent estimates of the standard errors of the particle filter estimates of the hidden states.
Keywords
60F10, 60J22, 60K35, 65C05, importance sampling and resampling, particle filter, standard error
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