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On Particle Learning

Schäfer, Christian; Iacobucci, Alessandra; Robert, Christian P.; Mengersen, Kerrie; Chopin, Nicolas; Ryder, Robin J.; Marin, Jean-Michel (2010), On Particle Learning. https://basepub.dauphine.fr/handle/123456789/4640

Type
Document de travail / Working paper
External document link
http://hal.archives-ouvertes.fr/hal-00494357/fr/
Date
2010
Publisher
Université Paris-Dauphine
Published in
Paris
Pages
19
Metadata
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Author(s)
Schäfer, Christian

Iacobucci, Alessandra cc

Robert, Christian P.

Mengersen, Kerrie

Chopin, Nicolas

Ryder, Robin J.

Marin, Jean-Michel cc
Abstract (EN)
This document is the aggregation of six discussions of Lopes et al. (2010) that we submitted to the proceedings of the Ninth Valencia Meeting, held in Benidorm, Spain, on June 3-8, 2010, in conjunction with Hedibert Lopes' talk at this meeting. The main point in those discussions is the potential for degeneracy in the particle learning methodology, related with the exponential forgetting of the past simulations. We illustrate in particular the resulting difficulties in the case of mixtures.
Subjects / Keywords
Attrition; degeneracy; evidence; importance sampling; Marginal likelihood; Markov chain Monte Carlo; mixtures of distributions; simulation; sequential sampling; particle filter
JEL
C15 - Statistical Simulation Methods: General