Asymptotic independence conjecture for fractional weights in stratified resampling

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Let t∈Nt\in\mathbb{N}, let ψ∈Bb(Rt+2)\psi\in\mathcal{B}_b(\mathbb{R}^{t+2}) be continuous, and let h∈Bb(Rd(t+1))h\in\mathcal{B}_b(\mathbb{R}^{d(t+1)}). For the step-nn particles XnM,mX_n^{M,m}, define

unM,m−1:={M∑i=1m−1gn(XnM,i)∑i=1Mgn(XnM,i)},g~n(x):=gn(x)ηˉn0(gn).u_n^{M,m-1}:=\left\{\frac{M\sum_{i=1}^{m-1}g_n(X_n^{M,i})}{\sum_{i=1}^M g_n(X_n^{M,i})}\right\},\qquad \widetilde g_n(x):=\frac{g_n(x)}{\bar\eta_n^0(g_n)}.

Let wnM,mw_n^{M,m} denote the normalized stratified-resampling weights. Fractional-weight convergence conjecture. The difference between the two expectations obtained by evaluating ψ\psi at (νnM,m−1,wnM,m,…,wnM,m+t)(\nu_n^{M,m-1},w_n^{M,m},\ldots,w_n^{M,m+t}) and by averaging its first argument uniformly over [0,1][0,1] converges to zero after summing over mm and dividing by MM:

\begin{aligned} &\left|\frac{1}{M}\sum_{m=1}^{M-t}\mathbb{E}\left[h(X_n^{M,m},\ldots,X_n^{M,m+t})\psi(\nu_n^{M,m-1},w_n^{M,m},\ldots,w_n^{M,m+t})\right]\\ &-\frac{1}{M}\sum_{m=1}^{M-t}\mathbb{E}\left[h(X_n^{M,m},\ldots,X_n^{M,m+t})\int_0^1\psi(u,\widetilde g_n(X_n^{M,m}),\ldots,\widetilde g_n(X_n^{M,m+t}))\,du\right]\right|\longrightarrow0. \end{aligned}

This is the multi-step analogue of the fractional-part convergence used for the initial resampling step and underlies the recursive variance analysis. The source gives no proof or resolution of this convergence.

References

Primary source

Roberta Flenghi and Benjamin Jourdain, “Central limit theorem for the stratified resampling mechanism”, arXiv:2308.02186 (2023).

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