کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7550528 | 1489928 | 2018 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A sharp first order analysis of Feynman-Kac particle models, Part II: Particle Gibbs samplers
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A sharp first order analysis of Feynman-Kac particle models, Part II: Particle Gibbs samplers A sharp first order analysis of Feynman-Kac particle models, Part II: Particle Gibbs samplers](/preview/png/7550528.png)
چکیده انگلیسی
This article provides a new theory for the analysis of the particle Gibbs (PG) sampler (Andrieu et al., 2010). Following the work of Del Moral and Jasra (2017) we provide some analysis of the particle Gibbs sampler, giving first order expansions of the kernel and minorization estimates. In addition, first order propagation of chaos estimates are derived for empirical measures of the dual particle model with a frozen path, also known as the conditional sequential Monte Carlo (SMC) update of the PG sampler. Backward and forward PG samplers are discussed, including a first comparison of the contraction estimates obtained by first order estimates. We illustrate our results with an example of fixed parameter estimation arising in hidden Markov models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 128, Issue 1, January 2018, Pages 354-371
Journal: Stochastic Processes and their Applications - Volume 128, Issue 1, January 2018, Pages 354-371
نویسندگان
Pierre Del Moral, Ajay Jasra,