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This paper deals with the numerical approximation of normalizing constants produced by particle methods, in the general framework of Feynman-Kac sequences of measures.
R. Durrett. Probability: theory and examples. Duxbury Press, Belmont, 1996
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A. N. Shiryaev. Probability , volume 95 of Graduate Texts in Mathematics . Springer-Verlag: New York, 1996
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P. Del Moral and L. Miclo. Branching and Interacting Particle Systems Approximations of Feynman-Kac Formulae with Applications to Non-Linear Filtering . Séminaire de Probabilités XXXIV, J. Azéma and M. Emery and M. Ledoux and M. Yor, Lecture Notes in Mathematics, Springer-Verlag, Berlin, vol. 1729, pp. 1–145, 2000
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A. Doucet, J.F.G. de Freitas, and N.J. Gordon Eds. Sequential Monte Carlo Methods in Practice . Springer-Verlag, New York, 2001
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D.R. Grey. A note on convergence of probability measures. J. Appl. Probab. , vol. 38, pp. 1055–1058, 2001
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P. Del Moral. Feynman-Kac formulae: Genealogical and interacting particle systems with applications. Springer-Verlag: New York, 2004
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Cited alongside, same era.
O. Cappé, E. Moulines, and T. Rydén. Inference in Hidden Markov Models , Springer-Verlag: New York, 2005
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Cited alongside, same era.
P. Del Moral, A. Doucet and A. Jasra. Sequential Monte Carlo samplers. J. Royal Stat. Soc. B, vol. 68, pp. 411-436, 2006
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Cited alongside, same era.
P. Del Moral, P. Hu, and L.M. Wu. On the concentration properties of interacting particle processes. Foundations and Trends in Machine Learning , vol. 3, no. 3-4, pp. 225–389, 2012
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Cited alongside, same era.
N. Whiteley. Stability properties of some particle filters. Annals Applied Proba. , to appear
Cited in the paper.
2012
Later among the works it cites.
M.K. Pitt, R.S. Silva, P. Giordani and R. Kohn. On some properties of Markov chain Monte Carlo simulation methods based on the particle filter. J. Econometrics , vol. 17, pp. 134-151, 2012
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N. Whiteley and A. Lee. Twisted particle filters. ArXiv:1202.0220, 2012
2012
Later among the works it cites.
P. Del Moral. Mean field simulation for Monte Carlo integration . Chapman & Hall, CRC Press, 2013
2013
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