Abstract
We provide a general framework for using Monte Carlo methods in dynamic systems and discuss its wide applications. Under this framework, several currently available techniques are studied and generalized to accommodate more complex features. All of these methods are partial combinations of three ingredients: importance sampling and resampling, rejection sampling, and Markov chain iterations. We provide guidelines on how they should be used and under what circumstance each method is most suitable. Through the analysis of differences and connections, we consolidate these methods into a generic algorithm by combining desirable features. In addition, we propose a general use of Rao-Blackwellization to improve performance. Examples from econometrics and engineering are presented to demonstrate the importance of Rao–Blackwellization and to compare different Monte Carlo procedures.
Original language | English (US) |
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Pages (from-to) | 1032-1044 |
Number of pages | 13 |
Journal | Journal of the American Statistical Association |
Volume | 93 |
Issue number | 443 |
DOIs | |
State | Published - Sep 1 1998 |
Externally published | Yes |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
Keywords
- Blind deconvolution
- Bootstrap filter
- Gibbs sampling
- Hidden Markov model
- Kalman filter
- Markov chain Monte Carlo
- Particle filter
- Sequential imputation
- State-space model
- Target tracking