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math.ST2015
Blocking Strategies and Stability of Particle Gibbs Samplers
Sumeetpal S. Singh, Fredrik Lindsten, Eric Moulines
Sampling from the conditional (or posterior) probability distribution of the latent states of a Hidden Markov Model, given the realization of the observed process, is a non-trivial…
math.ST2014★ 49 cited
Uniform ergodicity of the Particle Gibbs sampler
Fredrik Lindsten, Randal Douc, Eric Moulines
The particle Gibbs (PG) sampler is a systematic way of using a particle filter within Markov chain Monte Carlo (MCMC). This results in an off-the-shelf Markov kernel on the space o…