Assume that the bias of a given SMC estimate is cN-1 + O(N-2). Explain how you may combine SMC estimates obtained from two SMC runs, with different values for N, to obtain a new estimate with bias...

Assume that the bias of a given SMC estimate is cN-1 + O(N-2). Explain how you may combine SMC estimates obtained from two SMC runs, with different values for N, to obtain a new estimate with bias O(N-2). Discuss the impact on the variance of the so-obtained estimate (as a function of the two values on Establish this general result. Explain why Proposition 12.1 is a direct corollary of this result

Dec 04, 2021
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