Stability of sequential Monte Carlo samplers via the Foster-Lyapunov condition

Statistics and Probability Letters

Volumn 78, Issue 17, 2008, Pages 3062-3069

  Jasra, Ajay ^a   Doucet, Arnaud ^b  

^a INSTITUTE OF STATISTICAL MATHEMATICS   (Japan)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 54049111768     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2008.05.023     Document Type: Article

References (8)

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3. Del Moral P. Feynman-Kac Formulae: Genealogical and Interacting Particle Systems with Applications (2004), Springer, New York
4. Del Moral P., Doucet A., and Jasra A. Sequential Monte Carlo samplers. J. Roy. Statist. Soc. B 68 (2006) 411-436
5. Douc R., Moulines E., and Rosenthal J.S. Quantitative bounds on convergence of time-inhomogeneous Markov chains. Ann. Appl. Probab. 14 (2004) 1643-1665
6. Doucet A., De Freitas N., and Gordon N. Sequential Monte Carlo Methods in Practice (2001), Springer, New York
7. Künsch H.R. Recursive Monte Carlo filters; algorithms and theoretical analysis. Ann. Statist. 33 (2005) 1983-2021
8. Meyn S., and Tweedie R.L. Markov Chains and Stochastic Stability (1993), Springer, New York