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Table 9 MSEs in estimation of R and Ω using FUSS and MH inside a Gibbs sampler, with δ=10−3, K=10, and NG=50, for the example of Section 6.3

From: A survey of Monte Carlo methods for parameter estimation

   λ=0.001 λ=0.005 λ=0.01 λ=0.05 λ=0.08 λ=0.10
FUSS MSE(R) 0.0071 0.0089 0.0093 0.0138 0.0150 0.0778
  MSE(Ω) 5.01 10−5 6.15 10−5 6.15 10−5 5.26 10−5 7.33 10−5 1.78 10−4
MH (σp=1) MSE(R) 0.6830 0.7264 0.7067 1.1631 1.3298 1.3293
  MSE(Ω) 0.0373 0.0402 0.0423 0.0399 0.0471 0.0440
MH (σp=2) MSE(R) 1.3566 1.4906 1.4247 2.0015 2.3042 2.2401
  MSE(Ω) 0.0897 0.1117 0.1041 0.0989 0.1089 0.1125
  1. The observed sequence, z1:T, is generated with R=3.7, Ω=0.4, and N=20 and different values of λ