On the Particle Gibbs Sampler

Nicolas Chopin and Sumeetpal Singh ()
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Sumeetpal Singh: Cambridge University

No 2013-41, Working Papers from Center for Research in Economics and Statistics

Abstract: The particle Gibbs sampler is a Markov chain Monte Carlo (MCMC) algorithm which operates on the extended space of the auxiliary variables generated by an interacting particle system. In particular, it samples the discrete variables that determine the particle genealogy. We propose a coupling construction between two particle Gibbs updates from different starting points, which is such that the coupling probability may be made arbitrary large by taking the particle system large enough. A direct consequence of this result is the uniform ergodicity of the Particle Gibbs Markov kernel. We discuss several algorithmic variations of Particle Gibbs, either proposed in the literature or original. For some of these variants we are able to prove that they dominate the original algorithm in asymptotic efficiency as measured by the variance of the central limit theorem's limiting distribution. A detailed numerical study is provided to demonstrate the efficacy of Particle Gibbs and the proposed variants

Pages: 36
Date: 2013-12
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Citations: View citations in EconPapers (11)

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