Usual time: Thursdays 14:00-15:00
Location: Room 102, Department of Statistical Science, 1-19 Torrington Place (1st floor). Some seminars are held at different locations and at different times. Please click on the abstract for further details.
- 17 December 2018: Prof. Ajay Jasra (National University of Singapore)
Central limit theorems for coupled particle filters
In this talk we prove new central limit theorems (CLT) for several coupled particle filters (CPFs). CPFs are used for the sequential estimation of the difference of expectations w.r.t. filters which are in some sense close. Examples include the estimation of the filtering distribution associated to different parameters (finite difference estimation) and filters associated to partially observed discretized diffusion processes (PODDP) and the implementation of the multilevel Monte Carlo (MLMC) identity. We develop new theory for CPFs and based upon several results, we propose a new CPF which approximates the maximal coupling (MCPF) of a pair of predictor distributions.
In the context of ML estimation associated to PODDP with discretization Δl, we show that the MCPF and another new approach have, under assumptions, an asymptotic variance that is upper-bounded by an expression that is (almost) O(Δl), uniformly in time. The O(Δl) rate preserves the so-called forward rate of the diffusion in some scenarios which is not the case for existing CPFs.
- 10 January 2019: Dr. Zahra Abdulla (King's College London)
- 31 January 2019: Dr. Alex Lewin (London School of Hygiene and Tropical Medicine)
- 14 February 2019: Dr. Tengyao Wang (University College London)
- 07 March 2019: Dr. Silvia Liverani (Queen Mary, University of London)
- 14 March 2019: Prof. Gary Collins (University of Oxford)
- 21 March 2019: Dr. Rebecca Turner (University College London)