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Improving the acceptance rate of reversible jump MCMC proposals

Author

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  • Al-Awadhi, Fahimah
  • Hurn, Merrilee
  • Jennison, Christopher

Abstract

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.

Suggested Citation

  • Al-Awadhi, Fahimah & Hurn, Merrilee & Jennison, Christopher, 2004. "Improving the acceptance rate of reversible jump MCMC proposals," Statistics & Probability Letters, Elsevier, vol. 69(2), pages 189-198, August.
  • Handle: RePEc:eee:stapro:v:69:y:2004:i:2:p:189-198
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. repec:dau:papers:123456789/6040 is not listed on IDEAS
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    Cited by:

    1. 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;The Institute of Statistical Mathematics, vol. 62(1), pages 145-159, February.
    2. Oedekoven, C.S. & King, R. & Buckland, S.T. & Mackenzie, M.L. & Evans, K.O. & Burger, L.W., 2016. "Using hierarchical centering to facilitate a reversible jump MCMC algorithm for random effects models," Computational Statistics & Data Analysis, Elsevier, vol. 98(C), pages 79-90.
    3. 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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