Publication: Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state-space Markov models
Loading...
Identifiers
Publication date
2016-03-30
Defense date
Authors
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Cornell University
Impact
Export
Abstract
We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete-time state-space Markov model. The algorithm employs two layers of particle filters to approximate the posterior probability distribution of the model parameters. In particular, the first layer yields an empirical distribution of samples on the parameter space, while the filters in the second layer are auxiliary devices to approximate the (analytically intractable) likelihood of the parameters. This approach relates the this algorithm to the recent sequential Monte Carlo square (SMC2) method, which provides a {\em non-recursive} solution to the same problem. In this paper, we investigate the approximation, via the proposed scheme, of integrals of real bounded functions with respect to the posterior distribution of the system parameters. Under assumptions related to the compactness of the parameter support and the stability and continuity of the sequence of posterior distributions for the state-space model, we prove that the Lp norms of the approximation errors vanish asymptotically (as the number of Monte Carlo samples generated by the algorithm increases) and uniformly over time. We also prove that, under the same assumptions, the proposed scheme can asymptotically identify the parameter values for a class of models. We conclude the paper with a numerical example that illustrates the uniform convergence results by exploring the accuracy and stability of the proposed algorithm operating with long sequences of observations.
Description
Documento depositado en el repositorio arXiv.org. Versión: arXiv:1603.09005v1 [stat.CO]
Keywords
Bayesian estimation, Nested particle filtering schem, Discrete-time state-space Markkov model