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Del Moral
2001
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2001
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2004
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2016

Multilevel Particle Filters: Normalizing Constant Estimation

Jasra, Ajay, Kamatani, Kengo, Osei, Prince Prepah et al.

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In this article we introduce two new estimates of the normalizing constant (or marginal likelihood) for partially observed diffusion (POD) processes, with discrete observations.

One estimate is biased but non-negative and the other is unbiased but not almost surely non-negative.
Our method uses the multilevel particle filter of Jasra et al (2015).
We show that, under assumptions, for Euler discretized PODs and a given $\varepsilon>0$.