A lognormal central limit theorem for particle approximations of normalizing constants

Jean Bérard (University of Strasbourg)
Pierre Del Moral (University of New South Wales)
Arnaud Doucet (University of Oxford)

Abstract


Feynman-Kac path integration models arise in a large variety of scientic disciplines including physics, chemistry and signal processing. Their mean eld particle interpretations, termed Diusion or Quantum Monte Carlo methods in physics and Sequential Monte Carlo or Particle Filters in statistics and applied probability, have found numerous applications as they allow to sample approximately from sequences of complex probability distributions and estimate their associated normalizing constants.This article focuses on the lognormal fuctuations of these normalizing constant estimates when both the time horizon n  and the number of particles N  go to innity in such a way that n/N tends to some number between 0 and 1. To the best of our knowledge, this is the first result of this type for mean field type interacting particle systems. We also discuss special classes of models, including particle absorption models in time-homogeneous environment and hidden Markov models in ergodic random environment, for which more explicit descriptions of the limiting bias and variance can be obtained.

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Pages: 1-28

Publication Date: October 7, 2014

DOI: 10.1214/EJP.v19-3428

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