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Improving the acceptance rate of reversible jump MCMC proposals

  • Al-Awadhi, Fahimah
  • Hurn, Merrilee
  • Jennison, Christopher
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    Recent 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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    File URL: http://www.sciencedirect.com/science/article/B6V1D-4CT4DWS-2/2/cab144a2f70e81f189a0e819c4517adc
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    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 69 (2004)
    Issue (Month): 2 (August)
    Pages: 189-198

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    Handle: RePEc:eee:stapro:v:69:y:2004:i:2:p:189-198
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    1. 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.
    2. 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.
    3. 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.
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