Uniform Ergodicity of the Particle Gibbs Sampler

作者：Lindsten Fredrik^*; Douc Randal; Moulines Eric

来源：Scandinavian Journal of Statistics, 2015, 42(3): 775-797.

DOI：10.1111/sjos.12136

• conditional sequential Monte Carlo
• particle Gibbs
• particle Markov chain Monte Carlo
• particle smoothing
• state space models

The particle Gibbs sampler is a systematic way of using a particle filter within Markov chain Monte Carlo. This results in an off-the-shelf Markov kernel on the space of state trajectories, which can be used to simulate from the full joint smoothing distribution for a state space model in a Markov chain Monte Carlo scheme. We show that the particle Gibbs Markov kernel is uniformly ergodic under rather general assumptions, which we will carefully review and discuss. In particular, we provide an explicit rate of convergence, which reveals that (i) for fixed number of data points, the convergence rate can be made arbitrarily good by increasing the number of particles and (ii) under general mixing assumptions, the convergence rate can be kept constant by increasing the number of particles superlinearly with the number of observations. We illustrate the applicability of our result by studying in detail a common stochastic volatility model with a non-compact state space.

• 出版日期2015-9
• 单位TELECOM ParisTech