Convergence of U-statistics for interacting particle systems
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.
Domains
Probability [math.PR]Origin | Files produced by the author(s) |
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