Grid Particle Gibbs with Ancestor Sampling for State-Space Models
提出一种网格粒子吉布斯祖先采样算法，利用状态空间划分近似隐马尔可夫模型来高效生成粒子，并在机制转换模型和疫情后旅游需求模型上验证了显著的计算效率提升。
We consider the challenge of estimating the model parameters and latent states of general state-space models within a Bayesian framework. We extend the commonly applied particle Gibbs framework by proposing an efficient particle generation scheme for the latent states. The approach efficiently samples particles using an approximate hidden Markov model (HMM) representation of the general state-space model via a partition of the state space, forming a ‘grid’. We refer to the approach as the grid particle Gibbs with ancestor sampling algorithm. We discuss several computational and practical aspects of the algorithm in detail and highlight further computational adjustments that improve the efficiency of the algorithm. The efficiency of the approach is investigated via challenging regime-switching models, including a post-COVID tourism demand model, and we demonstrate substantial computational gains compared to previous particle Gibbs with ancestor sampling methods. Code, data and appendices to supplement the results in this manuscript are available in the online supplementary materials.