Online Sequential Monte Carlo smoother for partially observed stochastic differential equations

Pierre Gloaguen (1) , Marie-Pierre Etienne (1) , Sylvain Le Corff (2)

1 MIA-Paris - Mathématiques et Informatique Appliquées
2 Département de Mathématiques-Université de Paris XI

This paper introduces a new algorithm to approximate smoothed additive functionals for partially observed stochastic differential equations. This method relies on a recent procedure which allows to compute such approximations online, i.e. as the observations are received, and with a computational complexity growing linearly with the number of Monte Carlo samples. This online smoother cannot be used directly in the case of partially observed stochastic differential equations since the transition density of the latent data is usually unknown. We prove that a similar algorithm may still be defined for partially observed continuous processes by replacing this unknown quantity by an unbiased estimator obtained for instance using general Poisson estimators. We prove that this estimator is consistent and its performance are illustrated using data from two models.

Mots clés: Stochastic differential equations; Smoothing; Sequential Monte Carlo Methods

Domaines: Méthodologie [stat.ME]; Applications [stat.AP]

Pierre Gloaguen, Marie-Pierre Etienne, Sylvain Le Corff. Online Sequential Monte Carlo smoother for partially observed stochastic differential equations. 2017. ⟨hal-01483481⟩