On variance stabilisation in Population Monte Carlo by double Rao-Blackwellisation
Population Monte Carlo has been introduced as a sequential importance sampling technique to overcome poor fit of the importance function. The performance of the original Population Monte Carlo algorithm is compared 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 a large simulation experiment on posterior distributions of mean mixtures of distributions.
Year of publication: |
2010
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Authors: | Iacobucci, Alessandra ; Marin, Jean-Michel ; Robert, Christian |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 54.2010, 3, p. 698-710
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Publisher: |
Elsevier |
Saved in:
Online Resource
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