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hal.structure.identifierQuality control and dynamic reliability [CQFD]
dc.contributor.authorDEL MORAL, Pierre
hal.structure.identifierNational University of Singapore [NUS]
dc.contributor.authorJASRA, Ajay
dc.date.accessioned2024-04-04T03:07:15Z
dc.date.available2024-04-04T03:07:15Z
dc.date.issued2018-01
dc.identifier.issn0304-4149
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/193419
dc.description.abstractEnThis 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.
dc.language.isoen
dc.publisherElsevier
dc.subject.enFeynman–Kac formulae
dc.subject.enMean field particle models
dc.subject.enParticle simulation
dc.subject.enParticle Gibbs samplers
dc.subject.enPropagation of chaos
dc.subject.enContraction inequalities
dc.subject.enDobrushin coefficients
dc.subject.enMinorization conditions
dc.title.enA sharp first order analysis of Feynman–Kac particle models, Part II: Particle Gibbs samplers
dc.typeArticle de revue
dc.identifier.doi10.1016/j.spa.2017.05.001
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.journalStochastic Processes and their Applications
bordeaux.page354 - 371
bordeaux.volume128
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.issue1
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-01669385
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-01669385v1
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