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Re: rjmcmc
Posted:
Nov 24, 2012 3:11 PM


"majeti dinesh" wrote in message news:356ece8f0b884a3d88d2b3bd23bab14b@googlegroups.com...
It is a method to samples from a posterior distribution. I am applying it to a gaussian mixture. I am sampling the mixture parameters and weights and the number of mixtures using this method. The sampling is done using the Metropolis method. To accept a move, we need to compute the probability of accepting it. This value is becoming very large negative value for me.

Given that clue, I found http://en.wikipedia.org/wiki/Reversiblejump_Markov_chain_Monte_Carlo and there are many other online pages to be found using an online search. You might try http://www1.imperial.ac.uk/resources/8b3cf549039e4f968beccab969a0695c/eph200501.pdf if you have not seen it, as it discusses some practical issues. Also www.springerlink.com/index/w72n45j33w754g94.pdf seems ontopic.



