On Particle Learning

Schäfer, Christian; Iacobucci, Alessandra; Robert, Christian P.; Mengersen, Kerrie; Chopin, Nicolas; Ryder, Robin J.; Marin, Jean-Michel

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

Lien vers un document non conservé dans cette base

http://hal.archives-ouvertes.fr/hal-00494357/fr/

Date

2010

Éditeur

Université Paris-Dauphine

Ville d’édition

Paris

Métadonnées

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Auteur(s)

Schäfer, Christian

Iacobucci, Alessandra

Robert, Christian P.

Mengersen, Kerrie

Chopin, Nicolas

Ryder, Robin J.

Marin, Jean-Michel

Résumé (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.

Mots-clés

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