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dc.contributor.authorCappé, Olivier
dc.contributor.authorRobert, Christian P.
dc.contributor.authorRyden, Tobias
dc.date.accessioned2011-04-26T08:48:53Z
dc.date.available2011-04-26T08:48:53Z
dc.date.issued2003
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6040
dc.language.isoenen
dc.subjectBirth-and-death processen
dc.subjectHidden Markov modelen
dc.subjectMarkov chain Monte Carlo algorithmsen
dc.subjectMixture distributionen
dc.subjectRao–Blackwellizationen
dc.subjectRescalingen
dc.subject.ddc519en
dc.subject.classificationjelC15en
dc.titleReversible jump, birth-and-death and more general continuous time Markov chain Monte Carlo samplersen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenReversible jump methods are the most commonly used Markov chain Monte Carlo tool for exploring variable dimension statistical models. Recently, however, an alternative approach based on birth-and-death processes has been proposed by Stephens for mixtures of distributions. We show that the birth-and-death setting can be generalized to include other types of continuous time jumps like split-and-combine moves in the spirit of Richardson and Green. We illustrate these extensions both for mixtures of distributions and for hidden Markov models. We demonstrate the strong similarity of reversible jump and continuous time methodologies by showing that, on appropriate rescaling of time, the reversible jump chain converges to a limiting continuous time birth-and-death process. A numerical comparison in the setting of mixtures of distributions highlights this similarity.en
dc.relation.isversionofjnlnameJournal of the Royal Statistical Society. Series B, Statistical Methodology
dc.relation.isversionofjnlvol65en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2003
dc.relation.isversionofjnlpages679-700en
dc.relation.isversionofdoihttp://dx.doi.org/10.1111/1467-9868.00409en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherWileyen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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