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arXiv · 1605.04963

Multilevel Particle Filters: Normalizing Constant Estimation

Ajay Jasra·Kengo Kamatani·Prince Prepah Osei·Yan Zhou
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Abstract

In this article we introduce two new estimates of the normalizing constant (or marginal likelihood) for partially observed diffusion (POD) processes, with discrete observations. One estimate is biased but non-negative and the other is unbiased but not almost surely non-negative. Our method uses the multilevel particle filter of Jasra et al (2015). We show that, under assumptions, for Euler discretized PODs and a given $\varepsilon>0$. in order to obtain a mean square error (MSE) of $\mathcal{O}(\varepsilon^2)$ one requires a work of $\mathcal{O}(\varepsilon^{-2.5})$ for our new estimates versus a standard particle filter that requires a work of $\mathcal{O}(\varepsilon^{-3})$. Our theoretical results are supported by numerical simulations.

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Ajay Jasra, Kengo Kamatani, Prince Prepah Osei, Yan Zhou. 2016-05-16. Multilevel Particle Filters: Normalizing Constant Estimation. https://arxiv.org/abs/1605.04963

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