Particle rolling MCMC with double-block sampling

DOI10.1007/S42081-022-00170-2MaRDI QIDQ6134370zbMATH OpenOpenAlexFDO

Authors Naoki Awaya, Yasuhiro Omori

Publication date 25 July 2023

Published in Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1709.09280

zbMATH Keywords

sequential Monte Carlostate space modelimportance samplingstructural changeparticle Markov chain Monte Carloparticle Gibbsdouble-block samplerforward and backward samplingparticle simulation smootherrolling-window estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: An efficient simulation-based methodology is proposed for the rolling window estimation of state space models, called particle rolling Markov chain Monte Carlo (MCMC) with double block sampling. In our method, which is based on Sequential Monte Carlo (SMC), particles are sequentially updated to approximate the posterior distribution for each window by learning new information and discarding old information from observations. Th particles are refreshed with an MCMC algorithm when the importance weights degenerate. To avoid degeneracy, which is crucial for reducing the computation time, we introduce a block sampling scheme and generate multiple candidates by the algorithm based on the conditional SMC. The theoretical discussion shows that the proposed methodology with a nested structure is expressed as SMC sampling for the augmented space to provide the justification. The computational performance is evaluated in illustrative examples, showing that the posterior distributions of the model parameters are accurately estimated. The proofs and additional discussions (algorithms and experimental results) are provided in the Supplementary Material.

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Cited in

(1)

• Augmentation schemes for particle MCMC

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