University of Cambridge > > Statistics Reading Group > Reversible jump MCMC

Reversible jump MCMC

Add to your list(s) Download to your calendar using vCal

If you have a question about this talk, please contact Richard Samworth.

Reversible jump Markov chain Monte Carlo (RJMCMC) is an extension of the Metropolis-Hastings algorithm for stationary distributions of variable dimension. It has been successfully applied in a wide variety of settings, including the challenging problem of determining the number of components in a finite mixture and determining the number of states in a hidden Markov model. In this talk, RJMCMC is considered as an approach to Bayesian model selection problems and for this reason, it is used to explore the sampling space that consists of several models of different dimension. The RJMCMC algorithm usually considers a selection of move types, some of which explore the parameter space within a model, and others which propose changes to the dimensionality of the model. The choice of the proposal mechanism is crucial to the performance of the algorithm. Therefore, several methods have been proposed in the literature on how to choose the proposal mechanism of the algorithm. In this talk, I will describe some of these methods and I will also introduce a new one.

The original reversible jump MCMC paper can be found here

This talk is part of the Statistics Reading Group series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.


© 2006-2023, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity