A non asymptotic variance theorem for unnormalized Feynman-Kac particle models
DEL MORAL, Pierre
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
GUYADER, Arnaud
Applications of interacting particle systems to statistics [ASPI]
Institut de Recherche Mathématique de Rennes [IRMAR]
Applications of interacting particle systems to statistics [ASPI]
Institut de Recherche Mathématique de Rennes [IRMAR]
DEL MORAL, Pierre
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
GUYADER, Arnaud
Applications of interacting particle systems to statistics [ASPI]
Institut de Recherche Mathématique de Rennes [IRMAR]
< Reduce
Applications of interacting particle systems to statistics [ASPI]
Institut de Recherche Mathématique de Rennes [IRMAR]
Language
en
Rapport
This item was published in
2008
English Abstract
We present a non asymptotic theorem for interacting particle approximations of unnormalized Feynman-Kac models. We provide an original stochastic analysis based on Feynman-Kac semigroup techniques combined with recently ...Read more >
We present a non asymptotic theorem for interacting particle approximations of unnormalized Feynman-Kac models. We provide an original stochastic analysis based on Feynman-Kac semigroup techniques combined with recently developed coalescent tree-based functional representations of particle block distributions. We present some regularity conditions under which the $\LL_2$-relative error of these weighted particle measures grows linearly with respect to the time horizon yielding what seems to be the first results of this type for this class of unnormalized models. We also illustrate these results in the context of particle simulation of static Boltzmann-Gibbs measures and restricted distributions, with a special interest in rare event analysis.Read less <
Origin
Hal imported