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
[](https://Red-Portal.github.io/ReversibleJump.jl/stable/)
[](https://Red-Portal.github.io/ReversibleJump.jl/dev/)
[](https://github.com/Red-Portal/ReversibleJump.jl/actions/workflows/CI.yml?query=branch%3Amain)
[](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).