On variance stabilisation by double Rao-Blackwellisation

Details On variance stabilisation by double Rao-Blackwellisation On variance stabilisation by double Rao-Blackwellisation

2008-02-25

arxiv.org/abs/0802.3690v1

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Population Monte Carlo has been introduced as a sequential importance sampling technique to overcome poor fit of the importance function. In this paper, we compare the performances of the original Population Monte Carlo algorithm 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 an large simulation experiment on posterior distributions of mean mixtures of distributions.

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