A lognormal central limit theorem for particle approximations of normalizing constants

@inproceedings{Brard2014ALC,
  title={A lognormal central limit theorem for particle approximations of normalizing constants},
  author={Jean B{\'e}rard},
  year={2014}
}
Feynman-Kac models arise in a large variety of scientific disciplines including physics, chemistry and signal processing. Their mean field particle interpretations, termed commonly Sequential Monte Carlo or Particle Filters, have found numerous applications as they allow to sample approximately from sequences of complex probability distributions and estimate their associated normalizing constants. It is well-known that, under regularity assumptions, the relative variance of these normalizing… CONTINUE READING