Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
 
Abstract : At present, reversible jump methods are the most common tool for exploring variable dimension statistical models. Recently however, an alternative approach based on birth-and-death processes has been proposed by Stephens (2000) in the case of mixtures of distributions. We address the comparison of both methods by demonstrating that upon appropriate rescaling of time, the reversible jump chain converging to a limiting continuous time birth-and-death chain. We show in addition that the birth-and-death setting can be generalised to include other types of jumps like split/combine jumps in the spirit of Richardson and Green (1997). We illustrate these extensions in the case of hidden Markov models.
 
 
REVERSIBLE JUMP MCMC CONVERGING TO BIRTH-AND-DEATH MCMC AND MORE GENERAL CONTINUOUS TIME SAMPLERS
CAPPE Olivier, ROBERT Christian P., RYDEN Tobias
2001-24
04-10-2001
 
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