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An Algorithm for Approximating the Second Moment of the Normalizing Constant Estimate from a Particle Filter

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  • Svetoslav Kostov

    (University Walk)

  • Nick Whiteley

    (University Walk)

Abstract

We propose a new algorithm for approximating the non-asymptotic second moment of the marginal likelihood estimate, or normalizing constant, provided by a particle filter. The computational cost of the new method is O(M) per time step, independently of the number of particles N in the particle filter, where M is a parameter controlling the quality of the approximation. This is in contrast to O(M N) for a simple averaging technique using M i.i.d. replicates of a particle filter with N particles. We establish that the approximation delivered by the new algorithm is unbiased, strongly consistent and, under standard regularity conditions, increasing M linearly with time is sufficient to prevent growth of the relative variance of the approximation, whereas for the simple averaging technique it can be necessary to increase M exponentially with time in order to achieve the same effect. This makes the new algorithm useful as part of strategies for estimating Monte Carlo variance. Numerical examples illustrate performance in the context of a stochastic Lotka–Volterra system and a simple AR(1) model.

Suggested Citation

  • Svetoslav Kostov & Nick Whiteley, 2017. "An Algorithm for Approximating the Second Moment of the Normalizing Constant Estimate from a Particle Filter," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 799-818, September.
    • Handle: RePEc:spr:metcap:v:19:y:2017:i:3:d:10.1007_s11009-016-9513-8
    DOI: 10.1007/s11009-016-9513-8
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    References listed on IDEAS

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    1. Christophe Andrieu & Arnaud Doucet & Roman Holenstein, 2010. "Particle Markov chain Monte Carlo methods," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 269-342, June.
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