Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state-space Markov models. (17th November 2017)

• Record Type: Journal Article
• Authors: Crisan, Dan; Míguez, Joaquín
• Is Part Of: Advances in applied probability. Volume 49:Number 4(2017)
• Page Start: 1170
• Page End: 1200
• Publication Date: 2017-11-17
• Subjects: Particle filtering, -- parameter estimation, -- Monte Carlo integration, -- state-space model, -- model inference, -- uniform convergence; Primary 65L08, -- 65L50; Probabilities -- Periodicals; Stochastic models -- Periodicals; Electronic journals; Periodicals; 519.2
• DOI: 10.1017/apr.2017.38
• Languages: English
• ISSNs: 0001-8678

Abstract

Abstract: We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete-time state-space Markov model. The algorithm employs two layers of particle filters to approximate the posterior probability distribution of the model parameters. In particular, the first layer yields an empirical distribution of samples on the parameter space, while the filters in the second layer are auxiliary devices to approximate the (analytically intractable) likelihood of the parameters. This approach relates the novel algorithm to the recent sequential Monte Carlo square method, which provides a nonrecursive solution to the same problem. In this paper we investigate the approximation of integrals of real bounded functions with respect to the posterior distribution of the system parameters. Under assumptions related to the compactness of the parameter support and the stability and continuity of the sequence of posterior distributions for the state-space model, we prove that the L p norms of the approximation errors vanish asymptotically (as the number of Monte Carlo samples generated by the algorithm increases) and uniformly over time. We also prove that, under the same assumptions, the proposed scheme can asymptotically identify the parameter values for a class of models. We conclude the paper with a numerical example that illustrates the uniform convergence results by exploring the accuracy and stability of the proposed algorithm operating with long sequences of observations.