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OPTIMALITY OF THE AUXILIARY PARTICLE FILTER
Auxiliary particle filter central limit theorem adjustment multiplier weight
2009/9/18
In this article we study asymptotic properties of weighted
samples produced by the auxiliary particle filter (APF) proposed by Pitt
and Shephard [17]. Besides establishing a central limit theorem (C...
A counterexample for the optimality of Kendall-Cranston coupling
counterexample Kendall-Cranston coupling Riemannian
2009/3/23
We construct a Riemannian manifold where the Kendall-Cranston coupling of two Brownian particle does not maximize the coupling probability.