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dc.contributor.authorRobert, Christian P.
dc.contributor.authorMira, Antonietta
dc.contributor.authorMarin, Jean-Michel
dc.contributor.authorCornuet, Jean-Marie
dc.date.accessioned2012-12-05T15:17:56Z
dc.date.available2012-12-05T15:17:56Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/10690
dc.language.isoenen
dc.subjectsequential Monte Carloen
dc.subjectpopulation Monte Carloen
dc.subjectpopulation geneticsen
dc.subjectparticle filtersen
dc.subjectdeterministic mixture weightsen
dc.subjectbanana shape targeten
dc.subject.ddc519en
dc.subject.classificationjelC15en
dc.titleAdaptive Multiple Importance Samplingen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherDepartment of Economics, University of Lugano;Suisse
dc.contributor.editoruniversityotherInstitut de Mathématiques et Modélisation de Montpellier (UMR CNRS 5149), Université Montpellier 2;France
dc.contributor.editoruniversityotherCentre de Biologie et Gestion des Populations, INRA;France
dc.description.abstracten. The Adaptive Multiple Importance Sampling algorithm is aimed at an optimal recycling of past simulations in an iterated importance sampling (IS) scheme. The difference with earlier adaptive IS implementations like Population Monte Carlo is that the importance weights of all simulated values, past as well as present, are recomputed at each iteration, following the technique of the deterministic multiple mixture estimator of Owen & Zhou ( J. Amer. Statist. Assoc., 95, 2000, 135). Although the convergence properties of the algorithm cannot be investigated, we demonstrate through a challenging banana shape target distribution and a population genetics example that the improvement brought by this technique is substantial. [ABSTRACT FROM AUTHOR]en
dc.relation.isversionofjnlnameScandinavian Journal of Statistics
dc.relation.isversionofjnlvol39en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages798-812en
dc.relation.isversionofdoihttp://dx.doi.org/10.1111/j.1467-9469.2011.00756.xen
dc.relation.isversionofjnlpublisherBlackwellen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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