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

DOI10.1016/J.CSDA.2008.09.020zbMATH Open1464.62096DBLPjournals/csda/IacobucciMR10arXiv0802.3690OpenAlexW2094002039WikidataQ60461481 ScholiaQ60461481MaRDI QIDQ962307FDOQ962307

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)

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.

Full work available at URL: https://arxiv.org/abs/0802.3690

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Mathematics Subject Classification ID

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

Cites Work

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• Bayesian thinking, modeling and computation.
• Convergence of adaptive mixtures of importance sampling schemes
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Cited In (5)

• Rao–Blackwellisation in the Markov Chain Monte Carlo Era
• Editorial: Second special issue on statistical algorithms and software
• 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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