Basic Convergence Results for Particle Filtering Methods: Theory for the Users
2009 (English)Report (Other academic)
This work extends our recent work on proving that the particle filter converge for unbounded function to a more general case. More specifically, we prove that the particle filter converge for unbounded functions in the sense of L p-convergence, for an arbitrary p greater than 1. Related to this, we also provide proofs for the case when the function we are estimating is bounded. In the process of deriving the main result we also established a new Rosenthal type inequality.
Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2009. , 28 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2914
Convergence, Particle filter, Nonlinear filtering, Dynamic systems
IdentifiersURN: urn:nbn:se:liu:diva-56208ISRN: LiTH-ISY-R-2914OAI: oai:DiVA.org:liu-56208DiVA: diva2:317001