Convergence of Sequential Monte Carlo Methods

Bayesian estimation problems where the posterior distribution evolves over time through the accumulationof data arise in many applications in statistics and related fields. Recently, a large number of algorithmsand applications based on sequential Monte Carlo methods (also known as particle filtering methods) haveappeared in the literature to solve this class of problems; see (Doucet, de Freitas & Gordon, 2001) for asurvey. However, few of these methods have been proved to converge...