Multipoint metropolis method with application to hybrid Monte Carlo
Journal of Computational Physics
On Bayesian model and variable selection using MCMC
Statistics and Computing
Learning a multivariate Gaussian mixture model with the reversible jump MCMC algorithm
Statistics and Computing
Acceleration of the Multiple-Try Metropolis algorithm using antithetic and stratified sampling
Statistics and Computing
Generic reversible jump MCMC using graphical models
Statistics and Computing
Automating and evaluating reversible jump MCMC proposal distributions
Statistics and Computing
Bayesian analysis of the patterns of biological susceptibility via reversible jump MCMC sampling
Computational Statistics & Data Analysis
Monte Carlo Statistical Methods
Monte Carlo Statistical Methods
Interacting multiple try algorithms with different proposal distributions
Statistics and Computing
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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.