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The pseudo-marginal approach for efficient Monte Carlo computations
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Andrieu, Christophe and Roberts, Gareth O. (2009) The pseudo-marginal approach for efficient Monte Carlo computations. Annals of statistics, Vol.37 (No.2). pp. 697-725. doi:10.1214/07-AOS574 ISSN 0090-5364.
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Official URL: http://dx.doi.org/10.1214/07-AOS574
Abstract
We introduce a powerful and flexible MCMC algorithm for stochastic simulation. The method builds on a pseudo-marginal method originally introduced in [Genetics 164 (2003) 1139-1160], showing how algorithms which are approximations to an idealized marginal algorithm, can share the same marginal stationary distribution as the idealized method. Theoretical results are given describing the convergence properties of the proposed method, and simple numerical examples are given to illustrate the promising empirical characteristics of the technique. Interesting comparisons with a more obvious, but inexact, Monte Carlo approximation to the marginal algorithm, are also given.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Annals of statistics | ||||
Publisher: | Inst Mathematical Statistics | ||||
ISSN: | 0090-5364 | ||||
Official Date: | April 2009 | ||||
Dates: |
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Volume: | Vol.37 | ||||
Number: | No.2 | ||||
Number of Pages: | 29 | ||||
Page Range: | pp. 697-725 | ||||
DOI: | 10.1214/07-AOS574 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Funder: | Engineering and Physical Sciences Research Council (EPSRC) |
Data sourced from Thomson Reuters' Web of Knowledge
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