Asymptotic independence conjecture for fractional weights in stratified resampling

Let tNt\in\mathbb{N}, let ψBb(Rt+2)\psi\in\mathcal{B}_b(\mathbb{R}^{t+2}) be continuous, and let hBb(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,m1:={Mi=1m1gn(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,m1,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.

Sources & referencesView supporting material

Primary source

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

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