Incorporating Model Uncertainty into the Sequential Importance Sampling Framework using a Model Averaging Approach, or Trans-Dimensional Sequential Importance Sampling.
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A sequential Bayesian Monte Carlo approach is proposed in which model space can be explored during the Sequential Importance Sampling (SIS, a.k.a. Particle Filtering) fitting process. The algorithm allows model space to be explored while filtering forwards through time and takes a similar approach to Reversible Jump Markov Chain Monte Carlo (RJMCMC) strategies, whereby parameters jump into and out of the model structure. Possible efficiency gains of the new Trans-Dimensional SIS routine are discussed and the approach is considered most beneficial when the exploration of large model space in the SIS framework is desired.
CREEM technical report ; 2007-06