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Central limit theorem 1 Coefficient of variation 1 Effective sample size 1 Filtering 1 Particle filters 1 Random times 1 Resampling 1 Resampling times 1 Sequential Monte-Carlo methods 1 Soft maximum 1 Stochastic partial differential equation 1 Zakai equation 1
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Crisan, D. 1 Obanubi, O. 1
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Stochastic Processes and their Applications 1
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Particle filters with random resampling times
Crisan, D.; Obanubi, O. - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1332-1368
sample size of the system of particles, the coefficient of variation of the particles’ weights and, respectively, the (soft …) maximum of the particles’ weights. We also deduce central-limit theorem type results for the approximating particle system …
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