| Autor: |
Iacobucci, Alessandra, Marin, Jean-Michel, Robert, Christian |
| Rok vydání: |
2008 |
| Předmět: |
|
| Druh dokumentu: |
Working Paper |
| Popis: |
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. |
| Databáze: |
arXiv |
| Externí odkaz: |
|
