Related papers: On the auxiliary particle filter

The conditional particle filter (CPF) is a promising algorithm for general hidden Markov model smoothing. Empirical evidence suggests that the variant of CPF with backward sampling (CBPF) performs well even with long time series. Previous…

We undertake a precise study of the asymptotic and non-asymptotic properties of stochastic approximation procedures with Polyak-Ruppert averaging for solving a linear system $\bar{A} \theta = \bar{b}$. When the matrix $\bar{A}$ is Hurwitz,…

This paper is concerned with the convergence and the error analysis for the feedback particle filter (FPF) algorithm. The FPF is a controlled interacting particle system where the control law is designed to solve the nonlinear filtering…

Estimation of the average treatment effect (ATE) is a central problem in causal inference. In recent times, inference for the ATE in the presence of high-dimensional covariates has been extensively studied. Among the diverse approaches that…

We identify the average dose-response function (ADRF) for a continuously valued error-contaminated treatment by a weighted conditional expectation. We then estimate the weights nonparametrically by maximising a local generalised empirical…

Particle Filtering (PF) methods are an established class of procedures for performing inference in non-linear state-space models. Resampling is a key ingredient of PF, necessary to obtain low variance likelihood and states estimates.…

State estimation in non-linear models is performed by tracking the posterior distribution recursively. A plethora of algorithms have been proposed for this task. Among them, the Gaussian particle filter uses a weighted set of particles to…

The problem of linear modulation classification using likelihood based methods is considered. Asymptotic properties of most commonly used classifiers in the literature are derived. These classifiers are based on hybrid likelihood ratio test…

Linear ARCH (LARCH) processes were introduced by Robinson [J. Econometrics 47 (1991) 67--84] to model long-range dependence in volatility and leverage. Basic theoretical properties of LARCH processes have been investigated in the recent…

Particle filters are computational techniques for estimating the state of dynamical systems by integrating observational data with model predictions. This work introduces a class of Localized Particle Filters (LPFs) that exploit spatial…

In a global numerical weather prediction (NWP) modeling framework we study the implementation of Gaussian uncertainty of individual particles into the assimilation step of a localized adaptive particle filter (LAPF). We obtain a local…

This paper examines the impact of approximation steps that become necessary when particle filters are implemented on resource-constrained platforms. We consider particle filters that perform intermittent approximation, either by subsampling…

Large language models (LLMs) show great performance in various tasks, but face deployment challenges from limited memory capacity and bandwidth. Low-bit weight quantization can save memory and accelerate inference. Although floating-point…

In this paper, we consider the filtering problem for partially observed diffusions, which are regularly observed at discrete times. We are concerned with the case when one must resort to time-discretization of the diffusion process if the…

Graph anomaly detection (GAD) has garnered increasing attention in recent years, yet remains challenging due to two key factors: (1) label scarcity stemming from the high cost of annotations and (2) homophily disparity at node and class…

We introduce a weighted particle representation for the solution of the filtering problem based on a suitably chosen variation of the classical de Finetti theorem. This representation has important theoretical and numerical applications. In…

Semiparametric accelerated failure time (AFT) models are a useful alternative to Cox proportional hazards models, especially when the assumption of constant hazard ratios is untenable. However, rank-based criteria for fitting AFT models are…

This paper concerns numerical assessment of Monte Carlo error in particle filters. We show that by keeping track of certain key features of the genealogical structure arising from resampling operations, it is possible to estimate variances…

With the increasing deployment of deep neural networks (DNNs) in terrestrial and aerospace safety-critical applications, system reliability has emerged as a co-equal design metric alongside computational efficiency. Algorithm-based fault…

By making use of martingale representations, we derive the asymptotic normality of particle filters in hidden Markov models and a relatively simple formula for their asymptotic variances. Although repeated resamplings result in complicated…