Convergence of U-statistics for interacting particle systems

Pierre Del Moral 1, 2 Frédéric Patras 3 Sylvain Rubenthaler 3
2 ALEA - Advanced Learning Evolutionary Algorithms
Inria Bordeaux - Sud-Ouest, UB - Université de Bordeaux, CNRS - Centre National de la Recherche Scientifique : UMR5251
Abstract : The convergence of U-statistics has been intensively studied for estimators based on families of i.i.d. random variables and variants of them. In most cases, the independence assumption is crucial. When dealing with Feynman-Kac and other interacting particle systems of Monte Carlo type, one faces a new type of problem. Namely, in a sample of N particles obtained through the corresponding algorithms, the distributions of the particles are correlated -although any finite number of them is asymptotically independent with respect to the total number N of particles. In the present article, exploiting the fine asymptotics of particle systems, we prove convergence theorems for U-statistics in this framework.
Type de document :
Rapport
[Research Report] RR-6966, INRIA. 2009, pp.20
Liste complète des métadonnées

Littérature citée [6 références]  Voir  Masquer  Télécharger

https://hal.inria.fr/inria-00397366
Contributeur : Pierre Del Moral <>
Soumis le : dimanche 21 juin 2009 - 20:30:18
Dernière modification le : samedi 17 septembre 2016 - 01:36:09
Document(s) archivé(s) le : lundi 15 octobre 2012 - 14:40:56

Fichier

RR-6966.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : inria-00397366, version 1

Collections

Citation

Pierre Del Moral, Frédéric Patras, Sylvain Rubenthaler. Convergence of U-statistics for interacting particle systems. [Research Report] RR-6966, INRIA. 2009, pp.20. 〈inria-00397366〉

Partager

Métriques

Consultations de
la notice

369

Téléchargements du document

169