Bayesian analysis of nonlinear and non-Gaussian state space models via multiple-try sampling methods |
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Authors: | Mike K. P. So |
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Affiliation: | (1) Department of Information and Systems Management, School of Business and Management, The Hong Kong University of Science & Technology, Clear Water Bay, Hong Kong |
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Abstract: | We develop in this paper three multiple-try blocking schemes for Bayesian analysis of nonlinear and non-Gaussian state space models. To reduce the correlations between successive iterates and to avoid getting trapped in a local maximum, we construct Markov chains by drawing state variables in blocks with multiple trial points. The first and second methods adopt autoregressive and independent kernels to produce the trial points, while the third method uses samples along suitable directions. Using the time series structure of the state space models, the three sampling schemes can be implemented efficiently. In our multimodal examples, the three multiple-try samplers are able to generate the desired posterior sample, whereas existing methods fail to do so. |
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Keywords: | Adaptive direction sampling Blocking Kalman filter Markov chain Monte Carlo methods Multiple mode Posterior mode direction sampling Quadratic hill-climbing |
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