Stability properties of some particle filters

Abstract

Under multiplicative drift and other regularity conditions, it is established that the asymptotic variance associated with a particle filter approximation of the prediction filter is bounded uniformly in time, and the nonasymptotic, relative variance associated with a particle approximation of the normalizing constant is bounded linearly in time. The conditions are demonstrated to hold for some hidden Markov models on noncompact state spaces. The particle stability results are obtained by proving v-norm multiplicative stability and exponential moment results for the underlying Feynman-Kac formulas. © Institute of Mathematical Statistics, 2013.