Comments on "Joint Bayesian Model Selection and Estimation of Noisy Sinusoids via Reversible Jump MCMC" - CentraleSupélec
Article Dans Une Revue IEEE Transactions on Signal Processing Année : 2013

Comments on "Joint Bayesian Model Selection and Estimation of Noisy Sinusoids via Reversible Jump MCMC"

Alireza Roodaki
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  • PersonId : 870914
Julien Bect
Gilles Fleury
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  • PersonId : 831677

Résumé

Reversible jump MCMC (RJ-MCMC) sampling techniques, which allow to jointly tackle model selection and parameter estimation problems in a coherent Bayesian framework, have become increasingly popular in the signal processing literature since the seminal paper of Andrieu and Doucet (IEEE Trans. Signal Process., 47(10), 1999). Crucial to the implementation of any RJ-MCMC sampler is the computation of the so-called Metropolis-Hastings-Green (MHG) ratio, which determines the acceptance probability for the proposed moves. It turns out that the expression of the MHG ratio that was given in the paper of Andrieu and Doucet for "Birth-or-Death" moves is erroneous, and has been reproduced in many subsequent papers dealing with RJ-MCMC sampling in the signal processing literature. This note fixes the erroneous expression and briefly discusses its cause and consequences.
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Dates et versions

hal-00928902 , version 1 (13-01-2014)

Identifiants

Citer

Alireza Roodaki, Julien Bect, Gilles Fleury. Comments on "Joint Bayesian Model Selection and Estimation of Noisy Sinusoids via Reversible Jump MCMC". IEEE Transactions on Signal Processing, 2013, 61 (14), pp.3653-3655. ⟨10.1109/TSP.2013.2261992⟩. ⟨hal-00928902⟩
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