ON PARTICLE LEARNING
(with Nicolas Chopin, Jean-Michel Marin, Kerrie Mengersen, Christian P. Robert, Robin Ryder and Christian Schäffer)
(with Nicolas Chopin, Jean-Michel Marin, Kerrie Mengersen, Christian P. Robert, Robin Ryder and Christian Schäffer)
Abstract. This document is the aggregation of six discussions of Lopes et al. (2010) that we submitted to the proceedings of the Ninth Valencia Meeting, held in Benidorm, Spain, on June 3-8, 2010, in conjunction with Hedibert Lopes' talk at this meeting, and of a further discussion of the rejoinder by Lopes et al. (2010). The main point in those discussions is the potential for degeneracy in the particle learning methodology, related with the exponential forgetting of the past simulations. We illustrate in particular the resulting difficulties in the case of mixtures.
Keywords: Attrition; degeneracy; evidence; importance sampling; Marginal likelihood; Markov chain, Monte Carlo; mixtures of distributions; particle filter; sequential sampling; simulation.