Improving the acceptance rate of reversible jump MCMC proposals
AbstractRecent articles have commented on the difficulty of proposing efficient reversible jump moves within MCMC. We suggest a new way to make proposals more acceptable using a secondary Markov chain to modify proposed moves--at little extra programming cost.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 69 (2004)
Issue (Month): 2 (August)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Olivier Cappé & Christian P. Robert & Tobias Rydén, 2003. "Reversible jump, birth-and-death and more general continuous time Markov chain Monte Carlo samplers," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(3), pages 679-700.
- Cappé, Olivier & Robert, Christian P. & Ryden, Tobias, 2003. "Reversible jump, birth-and-death and more general continuous time Markov chain Monte Carlo samplers," Economics Papers from University Paris Dauphine 123456789/6040, Paris Dauphine University.
- Hum, Merrilee A. & Rue, Håvard & Sheehan, Nuala A., 1999. "Block updating in constrained Markov chain Monte Carlo sampling," Statistics & Probability Letters, Elsevier, vol. 41(4), pages 353-361, February.
- Leonardo Oliveira Martins & Hirohisa Kishino, 2010. "Distribution of distances between topologies and its effect on detection of phylogenetic recombination," Annals of the Institute of Statistical Mathematics, Springer, vol. 62(1), pages 145-159, February.
- Chen, Langnan & Luo, Jiawen & Liu, Hao, 2013. "The determinants of liquidity with G-RJMCMC-VS model: Evidence from China," Economic Modelling, Elsevier, vol. 35(C), pages 192-198.
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