On backward smoothing algorithms
The Annals of Statistics · 2023 · Volume 51 · Issue 5
Abstract
In the context of state-space models, skeleton-based smoothing algorithms rely on a backward sampling step, which by default, has a O(N2) complexity (where N is the number of particles). Existing improvements in the literature are unsatisfactory: a popular rejection sampling-based approach, as we shall show, might lead to badly behaved execution time; another rejection sampler with stopping lacks complexity analysis; yet another MCMC-inspired algorithm comes with no stability guarantee. We provide several results that close these gaps. In particular, we prove a novel nonasymptotic stability theorem, thus enabling smoothing with truly linear complexity and adequate theoretical justification. We propose a general framework, which unites most skeleton-based smoothing algorithms in the literature and allows to simultaneously prove their convergence and stability, both in online and offline contexts. Furthermore, we derive, as a special case of that framework, a new coupling-based smoothing algorithm applicable to models with intractable transition densities. We elaborate practical recommendations and confirm those with numerical experiments.
Keywords
62M05, 65C05, 65Y20, sequential Monte Carlo, smoothing, state-space model
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