Mostrar el registro sencillo del ítem

A Lognormal Central Limit Theorem for Particle Approximations of Normalizing Constants

hal.structure.identifierInstitut de Recherche Mathématique Avancée [IRMA]
hal.structure.identifierInstitut Camille Jordan [ICJ]
dc.contributor.authorBÉRARD, Jean
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorDEL MORAL, Pierre
hal.structure.identifierDepartment of Statistics [Oxford]
dc.contributor.authorDOUCET, Arnaud
dc.date.accessioned2024-04-04T03:22:01Z
dc.date.available2024-04-04T03:22:01Z
dc.date.issued2014
dc.identifier.issn1083-6489
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/194713
dc.description.abstractEnThis paper deals with the numerical approximation of normalizing constants produced by particle methods, in the general framework of Feynman-Kac sequences of measures. It is well-known that the corresponding estimates satisfy a central limit theorem for a fixed time horizon n as the number of particles N goes to infinity. Here, we study the situation where both n and N go to infinity in such a way that lim n→∞ . In this context, Pitt et al. \cite{pitt2012} recently conjectured that a lognormal central limit theorem should hold. We formally establish this result here, under general regularity assumptions on the model. We also discuss special classes of models (time-homogeneous environment and ergodic random environment) for which more explicit descriptions of the limiting bias and variance can be obtained.
dc.language.isoen
dc.publisherInstitute of Mathematical Statistics (IMS)
dc.title.enA Lognormal Central Limit Theorem for Particle Approximations of Normalizing Constants
dc.typeArticle de revue
dc.identifier.doi10.1214/EJP.v19-3428
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.journalElectronic Journal of Probability
bordeaux.volume19
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-01019391
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-01019391v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Electronic%20Journal%20of%20Probability&rft.date=2014&rft.volume=19&rft.eissn=1083-6489&rft.issn=1083-6489&rft.au=B%C3%89RARD,%20Jean&DEL%20MORAL,%20Pierre&DOUCET,%20Arnaud&rft.genre=article


Archivos en el ítem

ArchivosTamañoFormatoVer

No hay archivos asociados a este ítem.

Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro sencillo del ítem