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Particle Gibbs with refreshed backward simulation
University of Cambridge, UK.
University of Cambridge, UK.
University of Cambridge, UK.
2015 (English)In: Proceedings of the 40th IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), Institute of Electrical and Electronics Engineers (IEEE), 2015Conference paper, Published paper (Refereed)
Abstract [en]

The particle Gibbs algorithm can be used for Bayesian parameter estimation in Markovian state space models. Sometimes the resulting Markov chains mix slowly when the component particle filter suffers from degeneracy. This effect can be somewhat alleviated using backward simulation. In this paper we show how a simple modification to this scheme, which we refer to as refreshed backward simulation, can further improve the mixing. This works by sampling new state values simultaneously with the corresponding ancestor indexes. Although the necessary conditional distributions cannot be sampled directly, we provide suitable Markov kernels which target them. The efficacy of this new scheme is demonstrated with a simulation example.

Place, publisher, year, edition, pages
Institute of Electrical and Electronics Engineers (IEEE), 2015.
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:liu:diva-159487DOI: 10.1109/ICASSP.2015.7178745Scopus ID: 2-s2.0-84946054141ISBN: 9781467369978 (electronic)OAI: oai:DiVA.org:liu-159487DiVA, id: diva2:1344734
Conference
40th IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), Brisbane, QLD, Australia, 19-24 April 2015
Available from: 2019-08-21 Created: 2019-08-21 Last updated: 2019-08-27Bibliographically approved

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Lindsten, Fredrik
Probability Theory and Statistics

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf