Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

SEQUENTIALLY INTERACTING MARKOV CHAIN MONTE CARLO METHODS

Anthony Brockwell, Pierre Del Moral and Arnaud Doucet
The Annals of Statistics
Vol. 38, No. 6 (December 2010), pp. 3387-3411
Stable URL: http://www.jstor.org/stable/29765268
Page Count: 25
  • Read Online (Free)
  • Download ($19.00)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
SEQUENTIALLY INTERACTING MARKOV CHAIN MONTE CARLO METHODS
Preview not available

Abstract

Sequential Monte Carlo (SMC) is a methodology for sampling approximately from a sequence of probability distributions of increasing dimension and estimating their normalizing constants. We propose here an alternative methodology named Sequentially Interacting Markov Chain Monte Carlo (SIMCMC). SIMCMC methods work by generating interacting non-Markovian sequences which behave asymptotically like independent Metropolis—Hastings (MH) Markov chains with the desired limiting distributions. Contrary to SMC, SIMCMC allows us to iteratively improve our estimates in an MCMC-like fashion. We establish convergence results under realistic verifiable assumptions and demonstrate its performance on several examples arising in Bayesian time series analysis.

Page Thumbnails

  • Thumbnail: Page 
3387
    3387
  • Thumbnail: Page 
3388
    3388
  • Thumbnail: Page 
3389
    3389
  • Thumbnail: Page 
3390
    3390
  • Thumbnail: Page 
3391
    3391
  • Thumbnail: Page 
3392
    3392
  • Thumbnail: Page 
3393
    3393
  • Thumbnail: Page 
3394
    3394
  • Thumbnail: Page 
3395
    3395
  • Thumbnail: Page 
3396
    3396
  • Thumbnail: Page 
3397
    3397
  • Thumbnail: Page 
3398
    3398
  • Thumbnail: Page 
3399
    3399
  • Thumbnail: Page 
3400
    3400
  • Thumbnail: Page 
3401
    3401
  • Thumbnail: Page 
3402
    3402
  • Thumbnail: Page 
3403
    3403
  • Thumbnail: Page 
3404
    3404
  • Thumbnail: Page 
3405
    3405
  • Thumbnail: Page 
3406
    3406
  • Thumbnail: Page 
3407
    3407
  • Thumbnail: Page 
3408
    3408
  • Thumbnail: Page 
3409
    3409
  • Thumbnail: Page 
3410
    3410
  • Thumbnail: Page 
3411
    3411