On variance stabilisation in population Monte Carlo by double Rao-Blackwellisation

DOI10.1016/J.CSDA.2008.09.020MaRDI QIDQ962307zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Alessandra Iacobucci, Jean-Michel Marin, Christian P. Robert Robert

Publication date 6 April 2010

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0802.3690, https://hal.inria.fr/inria-00260141/file/iacobucci-marin-robert.pdf

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05)

Abstract: Population Monte Carlo has been introduced as a sequential importance sampling technique to overcome poor fit of the importance function. In this paper, we compare the performances of the original Population Monte Carlo algorithm with a modified version that eliminates the influence of the transition particle via a double Rao-Blackwellisation. This modification is shown to improve the exploration of the modes through an large simulation experiment on posterior distributions of mean mixtures of distributions.

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Cites work

• scientific article; zbMATH DE number 5133222 (Why is no real title available?)
• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• Bayesian thinking, modeling and computation.
• Convergence of adaptive mixtures of importance sampling schemes
• Iterated importance sampling in missing data problems
• Minimum variance importance samplingviaPopulation Monte Carlo

Cited in

(5)

• Editorial: Second special issue on statistical algorithms and software
• Rao–Blackwellisation in the Markov Chain Monte Carlo Era
• Minimum variance importance samplingviaPopulation Monte Carlo
• A population Monte Carlo scheme with transformed weights and its application to stochastic kinetic models
• A vanilla Rao-Blackwellization of Metropolis-Hastings algorithms

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