Twisting the alive particle filter

DOI10.1007/S11009-014-9422-7MaRDI QIDQ292346zbMATH OpenOpenAlexFDO

Authors Adam Persin, Ajay Jasr

Publication date 8 June 2016

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1308.4462

zbMATH Keywords

sequential Monte Carloapproximate Bayesian computationMetropolis-Hastings algorithmhidden Markov modelsnumerical examplealive particle filtersparticle Markov chain Monte Carlotwisted particle filters

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Abstract: This work focuses on sampling from hidden Markov models (Cappe et al, 2005) whose observations have intractable density functions. We develop a new sequential Monte Carlo (Doucet et al, 2000 and Gordon et al, 1993) algorithm and a new particle marginal Metropolis-Hastings (Andrieu et al, 2010) algorithm for these purposes. We build from Jasra, et al (2013) and Whiteley, et al (2013) to construct the sequential Monte Carlo (SMC) algorithm (which we call the alive twisted particle filter). Like the alive particle filter of Jasra, et al (2013), our new SMC algorithm adopts an approximate Bayesian computation (Tavare et al, 1997) estimate of the HMM. Our alive twisted particle filter also uses a twisted proposal as in Whiteley, et al (2013) to obtain a low-variance estimate of the HMM normalising constant. We demonstrate via numerical examples that, in some scenarios, this estimate has a much lower variance than that of the estimate obtained via the alive particle filter. The low variance of this normalising constant estimate encourages the implementation of our SMC algorithm within a particle marginal Metropolis-Hastings (PMMH) scheme, and we call the resulting methodology ``alive twisted PMMH. We numerically demonstrate on a stochastic volatility model how our alive twisted PMMH can converge faster than the standard alive PMMH of Jasra, et al (2013).

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Cited in

(3)

• Approximate Bayesian Computation for a Class of Time Series Models
• Twisted particle filters
• The alive particle filter and its use in particle Markov chain Monte Carlo

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