https://github.com/red-portal/reversiblejump.jl

Reversible Jump MCMC Algorithms in Julia
https://github.com/red-portal/reversiblejump.jl

Last synced: 3 months ago
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Reversible Jump MCMC Algorithms in Julia

• Host: GitHub
• URL: https://github.com/red-portal/reversiblejump.jl
• Owner: Red-Portal
• License: mit
• Created: 2023-11-09T22:15:46.000Z (over 1 year ago)
• Default Branch: main
• Last Pushed: 2024-03-20T22:32:37.000Z (about 1 year ago)
• Last Synced: 2025-01-18T03:45:58.936Z (5 months ago)
• Language: Julia
• Homepage:
• Size: 101 KB
• Stars: 0
• Watchers: 2
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

        
# ReversibleJump

[![Stable](https://img.shields.io/badge/docs-stable-blue.svg)](https://Red-Portal.github.io/ReversibleJump.jl/stable/)

[![Dev](https://img.shields.io/badge/docs-dev-blue.svg)](https://Red-Portal.github.io/ReversibleJump.jl/dev/)

[![Build Status](https://github.com/Red-Portal/ReversibleJump.jl/actions/workflows/CI.yml/badge.svg?branch=main)](https://github.com/Red-Portal/ReversibleJump.jl/actions/workflows/CI.yml?query=branch%3Amain)

[![Coverage](https://codecov.io/gh/Red-Portal/ReversibleJump.jl/branch/main/graph/badge.svg)](https://codecov.io/gh/Red-Portal/ReversibleJump.jl)

A package providing reversible jump MCMC algorithms.

In particular, it provides the following implementations:

* The original algorithm by Green with independent jump proposals[^G1995],

* the annealed importance sampling jump proposals by Karagiannis and Andrieu[^KA2013], and

* the non-reversible jump proposals by Gagnon and Doucet[^GD2020].

The exactness of the implementations are tested using the package [MCMCTesting.jl](https://github.com/Red-Portal/MCMCTesting.jl), which implements the hypothesis-testing approach by Gandy and Scott[^GS2020].

For the jump moves, the package currently only provides (unsorted) birth and death.

But additional moves such as sorted birth-death and split-merge, are planned to be added in the future.

## Example

An example of using the package is provided in `SinusoidDetection/`.

It contains a replication of the sinusoid joint estimation and detection model by Andrieu and Doucet [^AD1999].

[^G1995]: Green, P. J. (1995). Reversible jump Markov chain Monte Carlo computation and Bayesian model determination. Biometrika, 82(4), 711-732.

[^KA2013]: Karagiannis, G., & Andrieu, C. (2013). Annealed importance sampling reversible jump MCMC algorithms. Journal of Computational and Graphical Statistics, 22(3), 623-648.

[^GD2020]: Gagnon, P., & Doucet, A. (2020). Nonreversible jump algorithms for Bayesian nested model selection. Journal of Computational and Graphical Statistics, 30(2), 312-323.

[^AD1999]: Andrieu, C., & Doucet, A. (1999). Joint Bayesian model selection and estimation of noisy sinusoids via reversible jump MCMC. IEEE Transactions on Signal Processing, 47(10), 2667-2676.

[^GS2020]: Gandy, Axel, and James Scott. "Unit testing for MCMC and other Monte Carlo methods." arXiv preprint arXiv:2001.06465 (2020).