Log-normalization constant estimation using the ensemble Kalman–Bucy filter with application to high-dimensional models

Dan Crisan, Pierre Del Moral, Ajay Jasra, Hamza Mahmoud Ruzayqat

Research output: Contribution to journalArticlepeer-review

Abstract

In this article we consider the estimation of the log-normalization constant associated to a class of continuous-time filtering models. In particular, we consider ensemble Kalman–Bucy filter estimates based upon several nonlinear Kalman–Bucy diffusions. Using new conditional bias results for the mean of the aforementioned methods, we analyze the empirical log-scale normalization constants in terms of their -errors and -conditional bias. Depending on the type of nonlinear Kalman–Bucy diffusion, we show that these are bounded above by terms such as or (-errors) and or (-conditional bias), where t is the time horizon, N is the ensemble size, and is a constant that depends only on n, not on N or t. Finally, we use these results for online static parameter estimation for the above filtering models and implement the methodology for both linear and nonlinear models.
Original languageEnglish (US)
Pages (from-to)1-25
Number of pages25
JournalAdvances in Applied Probability
DOIs
StatePublished - Sep 2 2022

ASJC Scopus subject areas

  • Applied Mathematics
  • Statistics and Probability

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