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On Particle Learning

Author

Listed:
  • Nicolas Chopin

    (Crest)

  • Alessandra Iacobucci

    (Crest)

  • Jean-Michel Marin

    (Crest)

  • Kerrie L. Mengersen

    (Crest)

  • Christian P. Robert

    (Crest)

  • Robin Ryder

    (Crest)

  • Christian Schafer

    (Crest)

Abstract

This document is the aggregation of several discussions of Lopes et al. (2010) we submitted tothe proceedings of the Ninth Valencia Meeting, held in Benidorm, Spain, on June 3–8, 2010, inconjunction with Hedibert Lopes’ talk at this meeting. The main point in those discussions is thepotential for degeneracy in the particle learning methodology, related with the exponential forgettingof the past simulations. We illustrate the resulting difficulties in the case of mixtures.

Suggested Citation

  • Nicolas Chopin & Alessandra Iacobucci & Jean-Michel Marin & Kerrie L. Mengersen & Christian P. Robert & Robin Ryder & Christian Schafer, 2010. "On Particle Learning," Working Papers 2010-22, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2010-22
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    References listed on IDEAS

    as
    1. Pierre Del Moral & Arnaud Doucet & Ajay Jasra, 2006. "Sequential Monte Carlo samplers," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(3), pages 411-436, June.
    2. Nicolas Chopin & Christian P. Robert, 2010. "Properties of nested sampling," Biometrika, Biometrika Trust, vol. 97(3), pages 741-755.
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    Cited by:

    1. Karol Gellert & Erik Schlögl, 2021. "Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation," Risks, MDPI, vol. 9(12), pages 1-18, December.
    2. Chen, Ji & Yang, Xinglin & Liu, Xiliang, 2022. "Learning, disagreement and inflation forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    3. Audronė Virbickaitė & Hedibert F. Lopes & M. Concepción Ausín & Pedro Galeano, 2019. "Particle learning for Bayesian semi-parametric stochastic volatility model," Econometric Reviews, Taylor & Francis Journals, vol. 38(9), pages 1007-1023, October.
    4. Audrone Virbickaite & Hedibert F. Lopes, 2018. "Bayesian Semi-Parametric Markov Switching Stochastic Volatility Model," DEA Working Papers 89, Universitat de les Illes Balears, Departament d'Economía Aplicada.
    5. Bhattacharya, Arnab & Wilson, Simon P., 2018. "Sequential Bayesian inference for static parameters in dynamic state space models," Computational Statistics & Data Analysis, Elsevier, vol. 127(C), pages 187-203.

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