On variance stabilisation by double Rao-Blackwellisation
Computation
2008-02-26 v1
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.
Keywords
Cite
@article{arxiv.0802.3690,
title = {On variance stabilisation by double Rao-Blackwellisation},
author = {Alessandra Iacobucci and Jean-Michel Marin and Christian Robert},
journal= {arXiv preprint arXiv:0802.3690},
year = {2008}
}