A sequential particle algorithm that keeps the particle system alive

13th European Signal Processing Conference, EUSIPCO 2005

Volumn , Issue , 2005, Pages 902-905

  LeGland, François ^a   Oudjane, Nadia ^b  

^a CAMPUS DE BEAULIEU   (France)

^b EDF R AND D   (France)

Author keywords

[No Author keywords available]

Indexed keywords

CENTRAL LIMIT THEOREM; PARTICLE SYSTEMS; RANDOM NUMBERS; SELECTION FUNCTION; ZERO VALUES;

ELECTRICAL ENGINEERING;

SIGNAL PROCESSING;

EID: 84863676271     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (15)

1. Didier Dacunha-Castelle and Marie Duflo. Probability and Statistics II. Springer-Verlag, Berlin, 1986.
2. Pierre Del Moral. Feynman-Kac Formulae. Genealogical and Interacting Particle Systems with Applications. Probability and its Applications. Springer-Verlag, New York, 2004.
3. Pierre Del Moral, Jean Jacod, and Philip Protter. The Monte Carlo method for filtering with discrete-time observations. Probability Theory and Related Fields, 120(3):346-368, 2001.
4. Pierre Del Moral and Pascal Lezaud. Branching and interacting particle interpretation of rare event probabilities. In Henk Blom and John Lygeros, editors, Stochastic Hybrid Systems : Theory and Applications. Springer-Verlag, Berlin. To appear.
5. Pierre Del Moral and Laurent Miclo. Branching and interacting particle systems approximations of Feynman-Kac formulae with applications to nonlinear filtering. In Jacques Azéma, Michel Émery, Michel Ledoux, and Marc Yor, editors, Séminaire de Probabilités XXXIV, volume 1729 of Lecture Notes in Mathematics, pages 1-145. Springer-Verlag, Berlin, 2000.
6. Arnaud Doucet, Nando de Freitas, and Neil Gordon, editors. Sequential Monte Carlo Methods in Practice. Statistics for Engineering and Information Science. Springer-Verlag, New York, 2001.
7. Allan Gut. Stopped Random Walks. Limit Theorems and Applications. Applied Probability (A Series of the Applied Probability Trust). Springer-Verlag, New York, 1988.
8. Hans R. Künsch. Recursive Monte Carlo filters : Algorithms and theoretical analysis. Research Report 112, Seminar für Statistik, ETH, Zürich, January 2003. ftp://ftp.stat.math.ethz.ch/Research-Reports/112.ps. gz.
9. François Le Gland and Nadia Oudjane. A robustification approach to stability and to uniform particle approximation of nonlinear filters : the example of pseudo-mixing signals. Stochastic Processes and their Applications, 106(2):279-316, August 2003.
10. François Le Gland and Nadia Oudjane. Stability and uniform approximation of nonlinear filters using the Hilbert metric, and application to particle filters. The Annals of Applied Probability, 14(1):144-187, February 2004.
11. Nadia Oudjane. Stabilité et Approximations Particulaires en Filtrage Non-Linéaire - Application au Pistage. Thèse de Doctorat, Université de Rennes 1, Rennes, December 2000. ftp://ftp.irisa.fr/ techreports/theses/2000/oudjane.pdf.
12. Nadia Oudjane and Sylvain Rubenthaler. Stability and uniform particle approximation of nonlinear filters in case of non ergodic signal. Stochastic Analysis and Applications. To appear.
13. Alfréd Rényi. On the asymptotic distribution of the sum of a random number of independent random variables. Acta Mathematica Academiae Scientiarum Hungaricae, 8:193-199, 1957.
14. Vivien Rossi. Filtrage Non-Linéaire par Noyaux de Convolution - Application à un Procédé de Dépollution Biologique. Thèse de Doctorat, École Nationale Supérieure Agronomique de Montpellier, Montpellier, December 2004.
15. David Siegmund. Sequential Analysis. Tests and Confidence Intervals. Springer Series in Statistics. Springer-Verlag, New York, 1985.