On the LP-convergence of a Girsanov theorem based particle filter

Simo Särkkä; Eric Moulines

ICASSP 2016accepted0 citations

On the LP-convergence of a Girsanov theorem based particle filter

Abstract

We analyze the L <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">p</sub> -convergence of a previously proposed Girsanov theorem based particle filter for discretely observed stochastic differential equation (SDE) models. We prove the convergence of the algorithm with the number of particles tending to infinity by requiring a moment condition and a step-wise initial condition boundedness for the stochastic exponential process giving the likelihood ratio of the SDEs. The practical implications of the condition are illustrated with an Ornstein-Uhlenbeck model and with a non-linear Benes model.

BibTeX

@inproceedings{icassp2016_onthelpconvergen,
  title = {On the LP-convergence of a Girsanov theorem based particle filter},
  author = {Simo Särkkä and Eric Moulines},
  booktitle = {ICASSP 2016},
  year = {2016}
}