IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v82y2012i4p786-797.html
   My bibliography  Save this article

Enhanced consistency of the Resampled Convolution Particle Filter

Author

Listed:
  • Vila, Jean-Pierre

Abstract

Among the convolution particle filters for discrete-time dynamic systems defined by nonlinear state space models, the Resampled Convolution Filter is one of the most efficient, in terms of estimation of the conditional probability density functions (pdf’s) of the state variables and unknown parameters and in terms of implementation. This nonparametric filter is known for its almost sure L1-convergence property. But contrarily to the other convolution filters, its almost sure punctual convergence had not yet been established. This paper is devoted to the proof of this property.

Suggested Citation

  • Vila, Jean-Pierre, 2012. "Enhanced consistency of the Resampled Convolution Particle Filter," Statistics & Probability Letters, Elsevier, vol. 82(4), pages 786-797.
  • Handle: RePEc:eee:stapro:v:82:y:2012:i:4:p:786-797
    DOI: 10.1016/j.spl.2012.01.003
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715212000041
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Vila, Jean-Pierre, 2011. "Nonparametric multi-step prediction in nonlinear state space dynamic systems," Statistics & Probability Letters, Elsevier, vol. 81(1), pages 71-76, January.
    2. repec:eee:ecomod:v:206:y:2007:i:3:p:431-438 is not listed on IDEAS
    3. LeGland, François & Oudjane, Nadia, 2003. "A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals," Stochastic Processes and their Applications, Elsevier, vol. 106(2), pages 279-316, August.
    Full references (including those not matched with items on IDEAS)

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:82:y:2012:i:4:p:786-797. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.