TY - JOUR
T1 - A sharp first order analysis of Feynman–Kac particle models, Part II: Particle Gibbs samplers
AU - Del Moral, Pierre
AU - Jasra, Ajay
N1 - Generated from Scopus record by KAUST IRTS on 2019-11-20
PY - 2018/1/1
Y1 - 2018/1/1
N2 - 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.
AB - 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.
UR - https://linkinghub.elsevier.com/retrieve/pii/S0304414917301266
UR - http://www.scopus.com/inward/record.url?scp=85019873272&partnerID=8YFLogxK
U2 - 10.1016/j.spa.2017.05.001
DO - 10.1016/j.spa.2017.05.001
M3 - Article
SN - 0304-4149
VL - 128
JO - Stochastic Processes and their Applications
JF - Stochastic Processes and their Applications
IS - 1
ER -