Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo

@article{Koskela2018AsymptoticGO,
  title={Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo},
  author={Jere Koskela and Paul A. Jenkins and A. M. Johansen and Dario Span{\`o}},
  journal={arXiv: Statistics Theory},
  year={2018}
}
We study weighted particle systems in which new generations are resampled from current particles with probabilities proportional to their weights. This covers a broad class of sequential Monte Carlo (SMC) methods, widely-used in applied statistics and cognate disciplines. We consider the genealogical tree embedded into such particle systems, and identify conditions, as well as an appropriate time-scaling, under which they converge to the Kingman n-coalescent in the infinite system size limit in… Expand

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