Simple conditions for convergence of sequential Monte Carlo genealogies with applications

@article{Brown2020SimpleCF,
  title={Simple conditions for convergence of sequential Monte Carlo genealogies with applications},
  author={Suzie Brown and Paul A. Jenkins and A. M. Johansen and Jere Koskela},
  journal={arXiv: Computation},
  year={2020}
}
Sequential Monte Carlo algorithms are popular methods for approximating integrals in problems such as non-linear filtering and smoothing. Their performance depends strongly on the properties of an induced genealogical process. We present simple conditions under which the limiting process, as the number of particles grows, is a time-rescaled Kingman coalescent. We establish these conditions for standard sequential Monte Carlo with a broad class of low-variance resampling schemes, as well as for… Expand

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