After many delays and exchanges of emails, our AMIS paper with Jean-Marie Cornuet, Jean-Michel Marin and Antonietta Mira eventually made it into the Scandinavian Journal of Statistics. I am quite glad it is now published as it will publicize the method which brings an automatic (if not exactly free!) improvement for any SMC scheme. (AMIS stands for adaptive mixture importance sampling.)
Archive for adaptive mixture importance sampling
After a thorough revision that removed most of the theoretical attempts at improving our understanding of AMIS convergence, we have now resubmitted the AMIS paper to Scandinavian Journal of Statistics and arXived the new version as well. (I remind the reader that AMIS stands for adaptive mixture importance sampling and that it implements an adaptive version of Owen and Zhou’s (2000, JASA) stabilisation mixture technique, using this correction on the past and present importance weights, at each iteration of this iterative algorithm.) The AMIS method starts being used in population genetics, including an on-going work by Jean-Marie Cornuet and a published paper in Molecular Biology and Evolution by Sirén, Marttinen and Corander. The challenge of properly demonstrating AMIS convergence remains open!