On some properties of Markov chain Monte Carlo simulation methods based on the particle filter

2012 ◽  
Vol 171 (2) ◽  
pp. 134-151 ◽  
Author(s):  
Michael K. Pitt ◽  
Ralph dos Santos Silva ◽  
Paolo Giordani ◽  
Robert Kohn
1996 ◽  
Vol 12 (3) ◽  
pp. 409-431 ◽  
Author(s):  
Siddhartha Chib ◽  
Edward Greenberg

We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and statistics. Among these is the Gibbs sampler, which has been of particular interest to econometricians. Although the paper summarizes some of the relevant theoretical literature, its emphasis is on the presentation and explanation of applications to important models that are studied in econometrics. We include a discussion of some implementation issues, the use of the methods in connection with the EM algorithm, and how the methods can be helpful in model specification questions. Many of the applications of these methods are of particular interest to Bayesians, but we also point out ways in which frequentist statisticians may find the techniques useful.


Agriculture ◽  
2020 ◽  
Vol 10 (12) ◽  
pp. 606
Author(s):  
Alaa Jamal ◽  
Raphael Linker

Particle filter has received increasing attention in data assimilation for estimating model states and parameters in cases of non-linear and non-Gaussian dynamic processes. Various modifications of the original particle filter have been suggested in the literature, including integrating particle filter with Markov Chain Monte Carlo (PF-MCMC) and, later, using genetic algorithm evolutionary operators as part of the state updating process. In this work, a modified genetic-based PF-MCMC approach for estimating the states and parameters simultaneously and without assuming Gaussian distribution for priors is presented. The method was tested on two simulation examples on the basis of the crop model AquaCrop-OS. In the first example, the method was compared to a PF-MCMC method in which states and parameters are updated sequentially and genetic operators are used only for state adjustments. The influence of ensemble size, measurement noise, and mutation and crossover parameters were also investigated. Accurate and stable estimations of the model states were obtained in all cases. Parameter estimation was more challenging than state estimation and not all parameters converged to their true value, especially when the parameter value had little influence on the measured variables. Overall, the proposed method showed more accurate and consistent parameter estimation than the PF-MCMC with sequential estimation, which showed highly conservative behavior. The superiority of the proposed method was more pronounced when the ensemble included a large number of particles and the measurement noise was low.


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