Adaptive proposal construction for reversible jump MCMC

DOI10.1111/J.1467-9469.2008.00606.XMaRDI QIDQ3552942zbMATH OpenOpenAlexWikidataFDO

Authors Ricardo S. Ehlers, S. P. Brooks

Publication date 22 April 2010

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9469.2008.00606.x

zbMATH Keywords

autoregressionMarkov chain Monte-CarloMetropolis-Hastings algorithmmodel selectionrandom number generation

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• Adaptive Markov Chain Monte Carlo through Regeneration
• Adaptive proposal distribution for random walk Metropolis algorithm
• An adaptive Metropolis algorithm
• An application of adaptive independent chain Metropolis-Hastings algorithms in Bayesian hazard rate estimation
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Bayesian analysis of mixture models with an unknown number of components\,--\,an alternative to reversible jump methods.
• Bayesian variable and link determination for generalised linear models
• Classical Model Selection via Simulated Annealing
• Efficient Construction of Reversible Jump Markov Chain Monte Carlo Proposal Distributions
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3992765 (Why is no real title available?)
• scientific article; zbMATH DE number 795289 (Why is no real title available?)
• Monte Carlo sampling methods using Markov chains and their applications
• Priors and Component Structures in Autoregressive Time Series Models
• Reversible Jump Markov Chain Monte Carlo Strategies for Bayesian Model Selection in Autoregressive Processes
• Self-regenerative Markov chain Monte Carlo with adaptation

Cited in

(10)

• Reversible jump MCMC for nonparametric drift estimation for diffusion processes
• Improving the acceptance rate of reversible jump MCMC proposals
• Model comparison for Gibbs random fields using noisy reversible jump Markov chain Monte Carlo
• Accelerating MCMC via Kriging-based adaptive independent proposals and delayed rejection
• Informed reversible jump algorithms
• Mode jumping proposals in MCMC
• Efficient Construction of Reversible Jump Markov Chain Monte Carlo Proposal Distributions
• Time-varying multi-regime models fitting by genetic algorithms
• Reversible Jump PDMP Samplers for Variable Selection
• Model choice using reversible jump Markov chain Monte Carlo

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