Following a moving target—Monte Carlo inference for dynamic Bayesian models

Authors


Walter R. Gilks Medical Research Council Biostatistics Unit, Institute of Public Health, University Forvie Site, Robinson Way, Cambridge, CB2 2SR, UKwally.gilks@mrc-bsu.cam.ac.uk

Abstract

Markov chain Monte Carlo (MCMC) sampling is a numerically intensive simulation technique which has greatly improved the practicality of Bayesian inference and prediction. However, MCMC sampling is too slow to be of practical use in problems involving a large number of posterior (target) distributions, as in dynamic modelling and predictive model selection. Alternative simulation techniques for tracking moving target distributions, known as particle filters, which combine importance sampling, importance resampling and MCMC sampling, tend to suffer from a progressive degeneration as the target sequence evolves. We propose a new technique, based on these same simulation methodologies, which does not suffer from this progressive degeneration.

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