Skip to Main content Skip to Navigation
Journal articles

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.
Complete list of metadata

Cited literature [10 references]  Display  Hide  Download
Contributor : Jean-Michel Marin Connect in order to contact the contributor
Submitted on : Monday, March 3, 2008 - 1:30:56 PM
Last modification on : Friday, August 5, 2022 - 2:49:41 PM
Long-term archiving on: : Friday, September 28, 2012 - 10:32:31 AM


Files produced by the author(s)



Alessandra Iacobucci, Jean-Michel Marin, Christian P. Robert. On variance stabilisation in Population Monte Carlo by double Rao-Blackwellisation. Computational Statistics and Data Analysis, Elsevier, 2010, 54 (3), pp.698-710. ⟨10.1016/j.csda.2008.09.020⟩. ⟨inria-00260141⟩



Record views


Files downloads