A sharp first order analysis of Feynman–Kac particle models, Part II: Particle Gibbs samplers - Inria - Institut national de recherche en sciences et technologies du numérique Accéder directement au contenu
Article Dans Une Revue Stochastic Processes and their Applications Année : 2018

A sharp first order analysis of Feynman–Kac particle models, Part II: Particle Gibbs samplers

Pierre del Moral
Ajay Jasra
  • Fonction : Auteur
  • PersonId : 854882

Résumé

This article provides a new theory for the analysis of the particle Gibbs (PG) sampler (Andrieu et al., 2010). Following the work of Del Moral and Jasra (2017) we provide some analysis of the particle Gibbs sampler, giving first order expansions of the kernel and minorization estimates. In addition, first order propagation of chaos estimates are derived for empirical measures of the dual particle model with a frozen path, also known as the conditional sequential Monte Carlo (SMC) update of the PG sampler. Backward and forward PG samplers are discussed, including a first comparison of the contraction estimates obtained by first order estimates. We illustrate our results with an example of fixed parameter estimation arising in hidden Markov models.

Dates et versions

hal-01669385 , version 1 (20-12-2017)

Identifiants

Citer

Pierre del Moral, Ajay Jasra. A sharp first order analysis of Feynman–Kac particle models, Part II: Particle Gibbs samplers. Stochastic Processes and their Applications, 2018, 128 (1), pp.354 - 371. ⟨10.1016/j.spa.2017.05.001⟩. ⟨hal-01669385⟩
71 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More