Related papers: Wasserstein bounds for non-linear Gaussian filters

Using the recently developed Sinkhorn algorithm for approximating the Wasserstein distance between probability distributions represented by Monte Carlo samples, we demonstrate exponential filter stability of two commonly used nonlinear…

We use Stein's method to bound the Wasserstein distance of order $2$ between a measure $\nu$ and the Gaussian measure using a stochastic process $(X_t)_{t \geq 0}$ such that $X_t$ is drawn from $\nu$ for any $t > 0$. If the stochastic…

This paper presents a novel distribution-agnostic Wasserstein distance-based estimation framework. The goal is to determine an optimal map combining prior estimate with measurement likelihood such that posterior estimation error optimally…

We derive quantitative bounds on the rate of convergence in $L^1$ Wasserstein distance of general M-estimators, with an almost sharp (up to a logarithmic term) behavior in the number of observations. We focus on situations where the…

The autocovariance and cross-covariance functions naturally appear in many time series procedures (e.g., autoregression or prediction). Under assumptions, empirical versions of the autocovariance and cross-covariance are asymptotically…

One of the most common misconceptions made about the Kalman filter when applied to linear systems is that it requires an assumption that all error and noise processes are Gaussian. This misconception has frequently led to the Kalman filter…

In this paper we introduce a Wasserstein-type distance on the set of Gaussian mixture models. This distance is defined by restricting the set of possible coupling measures in the optimal transport problem to Gaussian mixture models. We…

The filtering distribution captures the statistics of the state of a dynamical system from partial and noisy observations. Classical particle filters provably approximate this distribution in quite general settings; however they behave…

The estimation of non-Gaussian measurement noise models is a significant challenge across various fields. In practical applications, it often faces challenges due to the large number of parameters and high computational complexity. This…

Practical Bayes filters often assume the state distribution of each time step to be Gaussian for computational tractability, resulting in the so-called Gaussian filters. When facing nonlinear systems, Gaussian filters such as extended…

The ensemble Kalman filter is widely used in applications because, for high dimensional filtering problems, it has a robustness that is not shared for example by the particle filter; in particular it does not suffer from weight collapse.…

We derive central limit theorems for the Wasserstein distance between the empirical distributions of Gaussian samples. The cases are distinguished whether the underlying laws are the same or different. Results are based on the (quadratic)…

We present a novel approach to approximate Gaussian and mixture-of-Gaussians filtering. Our method relies on a variational approximation via a gradient-flow representation. The gradient flow is derived from a Kullback--Leibler discrepancy…

Gaussian mixture models find their place as a powerful tool, mostly in the clustering problem, but with proper preparation also in feature extraction, pattern recognition, image segmentation and in general machine learning. When faced with…

We study nonparametric density estimation problems where error is measured in the Wasserstein distance, a metric on probability distributions popular in many areas of statistics and machine learning. We give the first minimax-optimal rates…

Filters, especially wide range of Kalman Filters have shown their impacts on predicting variables of stochastic models with higher accuracy then traditional statistic methods. Updating mean and covariance each time makes Bayesian inferences…

This paper derives non-asymptotic error bounds for nonlinear stochastic approximation algorithms in the Wasserstein-$p$ distance. To obtain explicit finite-sample guarantees for the last iterate, we develop a coupling argument that compares…

A novel approximate Bayesian filter based on backward stochastic differential equations is introduced. It uses a nonlinear Feynman--Kac representation of the filtering problem and the approximation of an unnormalized filtering density using…

In this paper we propose tight upper and lower bounds for the Wasserstein distance between any two {{univariate continuous distributions}} with probability densities $p_1$ and $p_2$ having nested supports. These explicit bounds are…

A hybrid particle ensemble Kalman filter is developed for problems with medium non-Gaussianity, i.e. problems where the prior is very non-Gaussian but the posterior is approximately Gaussian. Such situations arise, e.g., when nonlinear…