Sequentially interacting Markov chain Monte Carlo methods

DOI10.1214/09-AOS747MaRDI QIDQ620553zbMATHOpenAlexFDO

Authors Anthony E. Brockwell, Pierre Del Moral, Arnaud Doucet

Publication date 19 January 2011

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1211.2582

zbMATH Keywords

convergencenumerical examplesMarkov chain Monte Carlo methodstate-space modelssequential Monte Carlo methodBayesian time seriesMetropolis-Hastings Markov chainsnormalizing constants

Mathematics Subject Classification ID

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) Discrete-time Markov processes on general state spaces (60J05)

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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Cited in

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• Conditional sequential Monte Carlo in high dimensions
• An Invitation to Sequential Monte Carlo Samplers
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