Model choice using reversible jump Markov chain Monte Carlo

David I Hastie, Peter J Green

Research output: Contribution to journalArticle (Academic Journal)peer-review

58 Citations (Scopus)

Abstract

We review the across-model simulation approach to computation for Bayesian model de-termination, based on the reversible jump Markov chain Monte Carlo method. Advantages, diculties and variations of the methods are discussed. We also discuss some limitations of the ideal Bayesian view of the model determination problem, for which no computational methods can provide a cure.
Original languageEnglish
Pages (from-to)309-338
Number of pages30
JournalStatistica Neerlandica
Volume66
Issue number3
Publication statusPublished - Aug 2012

Keywords

  • across-model sampling;

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