Multiple-order Markov Chain Monte Carlo Sampling Methods with Application to a Changepoint Model (1997)
| Citations: | 5 - 0 self |
BibTeX
@TECHREPORT{Stark97multiple-ordermarkov,
author = {J. Alex Stark and William J. Fitzgerald and Stephen B. Hladky},
title = {Multiple-order Markov Chain Monte Carlo Sampling Methods with Application to a Changepoint Model},
institution = {},
year = {1997}
}
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Abstract
This article explores a number of approaches to the task of formulating moves. A structure is proposed in which moves between subspaces are combined with moves within them. This is especially useful if the latter are of a Gibbs type. Ways of enhancing computational efficiency are considered. A framework is set out for reusing the results of computations in secondary moves once a primary move has been accepted or rejected. These methods are discussed in the context of a model of a piecewise-constant signal which is filtered before the addition of noise. This model was designed with a view to analysing ion channel records. Keywords: Markov chain Monte Carlo, reversible jump, changepoint analysis, ion channels
