Open Access
ESAIM: Proc.
Volume 19, 2007
Conference Oxford sur les méthodes de Monte Carlo séquentielles
Page(s) 6 - 11
Published online 30 October 2007
ESAIM: Proc., 2007, Vol. 19, pp. 6-11
DOI: 10.1051/proc:071902

On the use of sequential Monte Carlo methods for approximating smoothing functionals, with application to fixed parameter estimation

Jimmy Olsson1, Olivier Cappé2, Randal Douc3 and Éric Moulines2

1  Center for Mathematical Sciences, Lund University, Sweden
2  Laboratoire Traitement et Communication de l'Information, CNRS / GET Télécom Paris, France
3  Centre de Mathématiques APpliquées, Ecole Polytechnique, France

(Published online: 30 October 2007)

Sequential Monte Carlo (SMC) methods have demonstrated a strong potential for inference on the state variables in Bayesian dynamic models. In this context, it is also often needed to calibrate model parameters. To do so, we consider block maximum likelihood estimation based either on EM (Expectation-Maximization) or gradient methods. In this approach, the key ingredient is the computation of smoothed sum functionals of the hidden states, for a given value of the model parameters. It has been observed by several authors that using standard SMC methods for this smoothing task requires a substantial number of particles and may be unreliable for larger observation sample sizes. We introduce a simple variant of the basic sequential smoothing approach based on forgetting ideas. This modification, which is transparent in terms of computation time, reduces the variability of the approximation of the sum functional. Under suitable regularity assumptions, it is shown that this modification indeed allows a tighter control of the Lp error of the approximation.

Mathematics Subject Classification. 62M20, 93E25

Key words: Sequential Monte Carlo, Filtering and Smoothing, Parameter Estimation

© EDP Sciences, ESAIM 2007

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