Adaptive online variance estimation in particle filters: the ALVar estimator

Abstract

AbstractWe present a new approach—the estimator—to estimation of asymptotic variance in sequential Monte Carlo methods, or, particle filters. The method, which adjusts adaptively the lag of the estimator proposed in Olsson and Douc (Bernoulli 25(2):1504–1535) applies to very general distribution flows and particle filters, including auxiliary particle filters with adaptive resampling. The algorithm operates entirely online, in the sense that it is able to monitor the variance of the particle filter in real time and with, on the average, constant computational complexity and memory requirements per iteration. Crucially, it does not require the calibration of any algorithmic parameter. Estimating the variance only on the basis of the genealogy of the propagated particle cloud, without additional simulations, the routine requires only minor code additions to the underlying particle algorithm. Finally, we prove that the estimator is consistent for the true asymptotic variance as the number of particles tends to infinity and illustrate numerically its superiority to existing approaches.