Uniform Ergodicity of the Particle Gibbs Sampler

DOI10.1111/sjos.12136zbMath1360.60143arXiv1401.0683OpenAlexW2949724480MaRDI QIDQ2949876

Randal Douc, Fredrik Lindsten, Eric Moulines

Publication date: 5 October 2015

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.0683

zbMATH Keywords

state space modelsparticle Markov chain Monte Carloparticle Gibbsparticle smoothingconditional sequential Monte Carlo

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05)

Related Items (10)

Particle MCMC With Poisson Resampling: Parallelization and Continuous Time Models ⋮ A sharp first order analysis of Feynman-Kac particle models. II: Particle Gibbs samplers ⋮ Conditional sequential Monte Carlo in high dimensions ⋮ Concentration inequality for U-statistics of order two for uniformly ergodic Markov chains ⋮ Sequential Monte Carlo as approximate sampling: bounds, adaptive resampling via \(\infty\)-ESS, and an application to particle Gibbs ⋮ Static-parameter estimation in piecewise deterministic processes using particle Gibbs samplers ⋮ Coupled conditional backward sampling particle filter ⋮ Smoothing With Couplings of Conditional Particle Filters ⋮ Sequential Bayesian inference for implicit hidden Markov models and current limitations ⋮ A Note on Efficient Fitting of Stochastic Volatility Models

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