Sequentially interacting Markov chain Monte Carlo methods
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Bayesian time seriesconvergenceMarkov chain Monte Carlo methodMetropolis-Hastings Markov chainsnormalizing constantsnumerical examplessequential Monte Carlo methodstate-space models
Discrete-time Markov processes on general state spaces (60J05) Computational methods in Markov chains (60J22) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)
Abstract: Sequential Monte Carlo (SMC) is a methodology for sampling approximately from a sequence of probability distributions of increasing dimension and estimating their normalizing constants. We propose here an alternative methodology named Sequentially Interacting Markov Chain Monte Carlo (SIMCMC). SIMCMC methods work by generating interacting non-Markovian sequences which behave asymptotically like independent Metropolis-Hastings (MH) Markov chains with the desired limiting distributions. Contrary to SMC, SIMCMC allows us to iteratively improve our estimates in an MCMC-like fashion. We establish convergence results under realistic verifiable assumptions and demonstrate its performance on several examples arising in Bayesian time series analysis.
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