A generalized multiple-try version of the Reversible Jump algorithm
|Title:||A generalized multiple-try version of the Reversible Jump algorithm||Authors:||Pandolfi, Slivia
|Permanent link:||http://hdl.handle.net/10197/8372||Date:||Apr-2014||Abstract:||The Reversible Jump algorithm is one of the most widely used Markov chain Monte Carlo algorithms for Bayesian estimation and model selection. A generalized multiple-try version of this algorithm is proposed. The algorithm is based on drawing several proposals at each step and randomly choosing one of them on the basis of weights (selection probabilities) that may be arbitrarily chosen. Among the possible choices, a method is employed which is based on selection probabilities depending on a quadratic approximation of the posterior distribution. Moreover, the implementation of the proposed algorithm for challenging model selection problems, in which the quadratic approximation is not feasible, is considered. The resulting algorithm leads to a gain in efficiency with respect to the Reversible Jump algorithm, and also in terms of computational effort. The performance of this approach is illustrated for real examples involving a logistic regression model and a latent class model.||Funding Details:||Science Foundation Ireland||Type of material:||Journal Article||Publisher:||Elsevier||Copyright (published version):||2013 Elsevier||Keywords:||Machine learning;Statistics;Bayesian inference;Latent class model;Logistic model;Markov chain Monte Carlo;Metropolis–Hastings algorithm||DOI:||10.1016/j.csda.2013.10.007||Language:||en||Status of Item:||Peer reviewed|
|Appears in Collections:||Mathematics and Statistics Research Collection|
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