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

Alessandra Iacobucci, Jean-Michel Marin and Christian Robert

Computational Statistics & Data Analysis, 2010, vol. 54, issue 3, 698-710

Abstract: 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.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:54:y:2010:i:3:p:698-710

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