On the behaviour of the backward interpretation of Feynman-Kac formulae under verifiable conditions

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Abstract

We consider the time behaviour associated to the sequential Monte Carlo estimate of the backward interpretation of Feynman-Kac formulae. This is particularly of interest in the context of performing smoothing for hidden Markov models. We prove a central limit theorem under weaker assumptions than adopted in the literature. We then show that the associated asymptotic variance expression for additive functionals grows at most linearly in time under hypotheses that are weaker than those currently existing in the literature. The assumptions are verified for some hidden Markov models.
Original languageEnglish (US)
JournalJournal of Applied Probability
Volume52
Issue number2
StatePublished - Jan 1 2015
Externally publishedYes

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