Browsing by Subject "sequential Monte Carlo"

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    A sequential Monte Carlo Gibbs coupled with stochastically approximated expectation-maximization algorithm for functional data
    (International Press, 2022-01-11) Liu, Ziyue; Biostatistics and Health Data Science, School of Medicine
    We develop an algorithm to overcome the curse of dimensionality in sequential Monte Carlo (SMC) for functional data. In the inner iterations of the algorithm for given parameter values, the conditional SMC is extended to obtain draws of the underlying state vectors. These draws in turn are used in the outer iterations to update the parameter values in the framework of stochastically approximated expectation-maximization to obtain maximum likelihood estimates of the parameters. Standard errors of the parameters are calculated using a stochastic approximation of Louis formula. Three numeric examples are used for illustration. They show that although the computational burden remains high, the algorithm produces reasonable results without exponentially increasing the particle numbers.