On variance stabilisation in Population Monte Carlo by double Rao-Blackwellisation
Population Monte Carlo has been introduced as a sequential importance sampling technique to overcome poor fit of the importance function. The performance of the original Population Monte Carlo algorithm is compared with a modified version that eliminates the influence of the transition particle via a double Rao-Blackwellisation. This modification is shown to improve the exploration of the modes through a large simulation experiment on posterior distributions of mean mixtures of distributions.
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- Celeux, Gilles & Marin, Jean-Michel & Robert, Christian P., 2006. "Iterated importance sampling in missing data problems," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3386-3404, August.
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