Open Access
VOL. 3 | 2008 Sharp failure rates for the bootstrap particle filter in high dimensions
Peter Bickel, Bo Li, Thomas Bengtsson

Editor(s) Bertrand Clarke, Subhashis Ghosal

Inst. Math. Stat. (IMS) Collect., 2008: 318-329 (2008) DOI: 10.1214/074921708000000228


We prove that the maximum of the sample importance weights in a high-dimensional Gaussian particle filter converges to unity unless the ensemble size grows exponentially in the system dimension. Our work is motivated by and parallels the derivations of Bengtsson, Bickel and Li (2007); however, we weaken their assumptions on the eigenvalues of the covariance matrix of the prior distribution and establish rigorously their strong conjecture on when weight collapse occurs. Specifically, we remove the assumption that the nonzero eigenvalues are bounded away from zero, which, although the dimension of the involved vectors grow to infinity, essentially permits the effective system dimension to be bounded. Moreover, with some restrictions on the rate of growth of the maximum eigenvalue, we relax their assumption that the eigenvalues are bounded from above, allowing the system to be dominated by a single mode.


Published: 1 January 2008
First available in Project Euclid: 28 April 2008

MathSciNet: MR2459233

Digital Object Identifier: 10.1214/074921708000000228

Primary: 60G50 , 62L12 , 86A10 , 86A22 , 86A32 , 93E11

Keywords: Bayesian filter , curse of dimensionality , ensemble forecast , Ensemble methods , importance sampling , large deviations , Monte Carlo , numerical weather prediction , sample size requirements , state-space model

Rights: Copyright © 2008, Institute of Mathematical Statistics

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