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arXiv · 0802.3690

On variance stabilisation by double Rao-Blackwellisation

Alessandra Iacobucci·Jean-Michel Marin·Christian Robert
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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.

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Alessandra Iacobucci, Jean-Michel Marin, Christian Robert. 2008-02-25. On variance stabilisation by double Rao-Blackwellisation. https://arxiv.org/abs/0802.3690

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