{"id":"https://openalex.org/W2962749494","doi":"https://doi.org/10.1137/17m1111553","title":"Multilevel Particle Filters","display_name":"Multilevel Particle Filters","publication_year":2017,"publication_date":"2017-01-01","ids":{"openalex":"https://openalex.org/W2962749494","doi":"https://doi.org/10.1137/17m1111553","mag":"2962749494"},"language":"en","primary_location":{"id":"doi:10.1137/17m1111553","is_oa":false,"landing_page_url":"https://doi.org/10.1137/17m1111553","pdf_url":null,"source":{"id":"https://openalex.org/S203348814","display_name":"SIAM Journal on Numerical Analysis","issn_l":"0036-1429","issn":["0036-1429","1095-7170"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Numerical Analysis","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://www.osti.gov/servlets/purl/1862174","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5047259277","display_name":"Ajay Jasra","orcid":"https://orcid.org/0000-0003-4808-9131"},"institutions":[{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]}],"countries":["SG"],"is_corresponding":true,"raw_author_name":"Ajay Jasra","raw_affiliation_strings":["Department of Statistics & Applied Probability, National University of Singapore, Singapore, 117546, SG"],"affiliations":[{"raw_affiliation_string":"Department of Statistics & Applied Probability, National University of Singapore, Singapore, 117546, SG","institution_ids":["https://openalex.org/I165932596"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5085127363","display_name":"Kengo Kamatani","orcid":"https://orcid.org/0000-0002-1537-3446"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Kengo Kamatani","raw_affiliation_strings":["Graduate School of Engineering Science, Osaka University, Osaka, 565-0871, JP"],"affiliations":[{"raw_affiliation_string":"Graduate School of Engineering Science, Osaka University, Osaka, 565-0871, JP","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5053058869","display_name":"Kody J. H. Law","orcid":"https://orcid.org/0000-0003-3133-2537"},"institutions":[{"id":"https://openalex.org/I28407311","display_name":"University of Manchester","ror":"https://ror.org/027m9bs27","country_code":"GB","type":"education","lineage":["https://openalex.org/I28407311"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Kody J. H. Law","raw_affiliation_strings":["The University of Manchester Research"],"affiliations":[{"raw_affiliation_string":"The University of Manchester Research","institution_ids":["https://openalex.org/I28407311"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5101985235","display_name":"Yan Zhou","orcid":"https://orcid.org/0000-0002-2226-5005"},"institutions":[{"id":"https://openalex.org/I1289243028","display_name":"Oak Ridge National Laboratory","ror":"https://ror.org/01qz5mb56","country_code":"US","type":"facility","lineage":["https://openalex.org/I1289243028","https://openalex.org/I1330989302","https://openalex.org/I39565521","https://openalex.org/I4210159294"]},{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]}],"countries":["SG","US"],"is_corresponding":false,"raw_author_name":"Yan Zhou","raw_affiliation_strings":["Computer Science and Mathematics Division, Oak Ridge National Laboratory, Oak Ridge, 37934 TN, USA","Department of Statistics & Applied Probability, National University of Singapore, Singapore, 117546, SG"],"affiliations":[{"raw_affiliation_string":"Computer Science and Mathematics Division, Oak Ridge National Laboratory, Oak Ridge, 37934 TN, USA","institution_ids":["https://openalex.org/I1289243028"]},{"raw_affiliation_string":"Department of Statistics & Applied Probability, National University of Singapore, Singapore, 117546, SG","institution_ids":["https://openalex.org/I165932596"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5047259277"],"corresponding_institution_ids":["https://openalex.org/I165932596"],"apc_list":null,"apc_paid":null,"fwci":12.1062,"has_fulltext":true,"cited_by_count":80,"citation_normalized_percentile":{"value":0.98651685,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":96,"max":100},"biblio":{"volume":"55","issue":"6","first_page":"3068","last_page":"3096"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9986000061035156,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9986000061035156,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.9768000245094299,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9761999845504761,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.8594720959663391},{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.8296531438827515},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5340988039970398},{"id":"https://openalex.org/keywords/mean-squared-error","display_name":"Mean squared error","score":0.5070638656616211},{"id":"https://openalex.org/keywords/rate-of-convergence","display_name":"Rate of convergence","score":0.49910593032836914},{"id":"https://openalex.org/keywords/diffusion","display_name":"Diffusion","score":0.4480319023132324},{"id":"https://openalex.org/keywords/distribution","display_name":"Distribution (mathematics)","score":0.41451576352119446},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.41023287177085876},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3272707462310791},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.2734711468219757},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.0789121687412262}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.8594720959663391},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.8296531438827515},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5340988039970398},{"id":"https://openalex.org/C139945424","wikidata":"https://www.wikidata.org/wiki/Q1940696","display_name":"Mean squared error","level":2,"score":0.5070638656616211},{"id":"https://openalex.org/C57869625","wikidata":"https://www.wikidata.org/wiki/Q1783502","display_name":"Rate of convergence","level":3,"score":0.49910593032836914},{"id":"https://openalex.org/C69357855","wikidata":"https://www.wikidata.org/wiki/Q163214","display_name":"Diffusion","level":2,"score":0.4480319023132324},{"id":"https://openalex.org/C110121322","wikidata":"https://www.wikidata.org/wiki/Q865811","display_name":"Distribution (mathematics)","level":2,"score":0.41451576352119446},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.41023287177085876},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3272707462310791},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.2734711468219757},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.0789121687412262},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C127162648","wikidata":"https://www.wikidata.org/wiki/Q16858953","display_name":"Channel (broadcasting)","level":2,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.0},{"id":"https://openalex.org/C31258907","wikidata":"https://www.wikidata.org/wiki/Q1301371","display_name":"Computer network","level":1,"score":0.0},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1137/17m1111553","is_oa":false,"landing_page_url":"https://doi.org/10.1137/17m1111553","pdf_url":null,"source":{"id":"https://openalex.org/S203348814","display_name":"SIAM Journal on Numerical Analysis","issn_l":"0036-1429","issn":["0036-1429","1095-7170"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Numerical Analysis","raw_type":"journal-article"},{"id":"pmh:oai:osti.gov:1862174","is_oa":true,"landing_page_url":"https://www.osti.gov/biblio/1862174","pdf_url":"https://www.osti.gov/servlets/purl/1862174","source":{"id":"https://openalex.org/S4306402487","display_name":"OSTI OAI (U.S. Department of Energy Office of Scientific and Technical Information)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I139351228","host_organization_name":"Office of Scientific and Technical Information","host_organization_lineage":["https://openalex.org/I139351228"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null},{"id":"pmh:oai:pure.atira.dk:publications/a9b0159a-1f43-40ea-b16d-d61d241c3f2d","is_oa":true,"landing_page_url":null,"pdf_url":"https://www.research.manchester.ac.uk/portal/en/publications/multilevel-particle-filters(a9b0159a-1f43-40ea-b16d-d61d241c3f2d).html","source":{"id":"https://openalex.org/S4306400662","display_name":"Research Explorer (The University of Manchester)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I28407311","host_organization_name":"University of Manchester","host_organization_lineage":["https://openalex.org/I28407311"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":""},{"id":"pmh:oai:pure.atira.dk:publications/a9b0159a-1f43-40ea-b16d-d61d241c3f2d","is_oa":true,"landing_page_url":"https://research.manchester.ac.uk/en/publications/a9b0159a-1f43-40ea-b16d-d61d241c3f2d","pdf_url":"https://www.research.manchester.ac.uk/portal/en/publications/multilevel-particle-filters(a9b0159a-1f43-40ea-b16d-d61d241c3f2d).html","source":{"id":"https://openalex.org/S4306400662","display_name":"Research Explorer (The University of Manchester)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I28407311","host_organization_name":"University of Manchester","host_organization_lineage":["https://openalex.org/I28407311"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Jasra, A, Kamatani, K, Law, K J H & Zhou, Y 2017, 'Multilevel particle filters', SIAM JOURNAL ON NUMERICAL ANALYSIS, vol. 55, no. 6, pp. 3068-3096. https://doi.org/10.1137/17M1111553","raw_type":"info:eu-repo/semantics/publishedVersion"},{"id":"pmh:oai:repository.kaust.edu.sa:10754/668532","is_oa":false,"landing_page_url":"http://hdl.handle.net/10754/668532","pdf_url":null,"source":{"id":"https://openalex.org/S4306401596","display_name":"King Abdullah University of Science and Technology Repository (King Abdullah University of Science and Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I71920554","host_organization_name":"King Abdullah University of Science and Technology","host_organization_lineage":["https://openalex.org/I71920554"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"}],"best_oa_location":{"id":"pmh:oai:osti.gov:1862174","is_oa":true,"landing_page_url":"https://www.osti.gov/biblio/1862174","pdf_url":"https://www.osti.gov/servlets/purl/1862174","source":{"id":"https://openalex.org/S4306402487","display_name":"OSTI OAI (U.S. Department of Energy Office of Scientific and Technical Information)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I139351228","host_organization_name":"Office of Scientific and Technical Information","host_organization_lineage":["https://openalex.org/I139351228"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G4742497483","display_name":null,"funder_award_id":"R-155-000-143-112","funder_id":"https://openalex.org/F4320320390","funder_display_name":"Australian Cancer Research Foundation"},{"id":"https://openalex.org/G6216554995","display_name":null,"funder_award_id":"CRG4 Award:2584","funder_id":"https://openalex.org/F4320322320","funder_display_name":"King Abdullah University of Science and Technology"},{"id":"https://openalex.org/G6528985309","display_name":null,"funder_award_id":"(B) 24740062","funder_id":"https://openalex.org/F4320338075","funder_display_name":"Core Research for Evolutional Science and Technology"}],"funders":[{"id":"https://openalex.org/F4320320390","display_name":"Australian Cancer Research Foundation","ror":"https://ror.org/0459phn12"},{"id":"https://openalex.org/F4320322320","display_name":"King Abdullah University of Science and Technology","ror":"https://ror.org/01q3tbs38"},{"id":"https://openalex.org/F4320337547","display_name":"Laboratory Directed Research and Development","ror":"https://ror.org/01e41cf67"},{"id":"https://openalex.org/F4320338075","display_name":"Core Research for Evolutional Science and Technology","ror":"https://ror.org/00097mb19"},{"id":"https://openalex.org/F4320338287","display_name":"Oak Ridge National Laboratory","ror":"https://ror.org/01qz5mb56"}],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W2962749494.pdf"},"referenced_works_count":23,"referenced_works":["https://openalex.org/W277831955","https://openalex.org/W1570515701","https://openalex.org/W1628268552","https://openalex.org/W1670531616","https://openalex.org/W1835030294","https://openalex.org/W1941377048","https://openalex.org/W1963049518","https://openalex.org/W2014945091","https://openalex.org/W2083865111","https://openalex.org/W2097793382","https://openalex.org/W2112367503","https://openalex.org/W2136037939","https://openalex.org/W2145793227","https://openalex.org/W2163715525","https://openalex.org/W2247836589","https://openalex.org/W2275145915","https://openalex.org/W2546891437","https://openalex.org/W2950543536","https://openalex.org/W2963298797","https://openalex.org/W3102699604","https://openalex.org/W3102824770","https://openalex.org/W3125235483","https://openalex.org/W4205301962"],"related_works":["https://openalex.org/W4287880334","https://openalex.org/W4366700029","https://openalex.org/W4285230481","https://openalex.org/W4385769873","https://openalex.org/W3125536267","https://openalex.org/W2274645452","https://openalex.org/W1999706086","https://openalex.org/W2521753262","https://openalex.org/W2359063982","https://openalex.org/W2360658320"],"abstract_inverted_index":{"In":[0],"this":[1],"paper":[2],"the":[3,22,51,62,70,88],"filtering":[4,71],"of":[5,21,29,42,46,85,87,104],"partially":[6],"observed":[7],"diffusions,":[8],"with":[9,67,96],"discrete-time":[10],"observations,":[11],"is":[12,15,39,73,94],"considered.":[13],"It":[14],"assumed":[16],"that":[17],"only":[18],"biased":[19],"approximations":[20],"diffusion":[23,90],"can":[24],"be":[25],"obtained":[26],"for":[27,78,82],"choice":[28],"an":[30],"accuracy":[31],"parameter":[32],"indexed":[33],"by":[34],"l.":[35],"A":[36],"multilevel":[37,63],"estimator":[38,64],"proposed":[40],"consisting":[41],"a":[43],"telescopic":[44],"sum":[45],"increment":[47],"estimators":[48],"associated":[49,56],"to":[50,57,69,75],"successive":[52],"levels.":[53],"The":[54,92],"work":[55],"$\\mathcal{O}(\\varepsilon^2)$":[58],"mean-squared":[59],"error":[60],"between":[61],"and":[65],"average":[66],"respect":[68],"distribution":[72],"shown":[74],"scale":[76],"optimally,":[77],"example,":[79],"as":[80,100,102],"$\\mathcal{O}(\\varepsilon^{-2})$":[81],"optimal":[83],"rates":[84],"convergence":[86],"underlying":[89],"approximation.":[91],"method":[93],"illustrated":[95],"some":[97],"toy":[98],"examples":[99],"well":[101],"estimation":[103],"interest":[105],"rate":[106],"based":[107],"on":[108],"real":[109],"S&P":[110],"500":[111],"stock":[112],"price":[113],"data.":[114]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":11},{"year":2023,"cited_by_count":7},{"year":2022,"cited_by_count":18},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":18},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":10}],"updated_date":"2026-04-22T08:38:42.863108","created_date":"2025-10-10T00:00:00"}