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On variance stabilisation in Population Monte Carlo by double Rao-Blackwellisation
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.
Cited literature [10 references]
https://hal.inria.fr/inria-00260141
Contributor : Jean-Michel Marin <>
Submitted on : Monday, March 3, 2008 - 1:30:56 PM
Last modification on : Thursday, April 22, 2021 - 1:20:02 PM
Long-term archiving on: : Friday, September 28, 2012 - 10:32:31 AM
Contributor : Jean-Michel Marin <>
Submitted on : Monday, March 3, 2008 - 1:30:56 PM
Last modification on : Thursday, April 22, 2021 - 1:20:02 PM
Long-term archiving on: : Friday, September 28, 2012 - 10:32:31 AM
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iacobucci-marin-robert.pdf
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