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Bayesian model comparison via path-sampling sequential Monte Carlo
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Zhou, Yan , Johansen, Adam M. and Aston, John A. D. (2012) Bayesian model comparison via path-sampling sequential Monte Carlo. In: Statistical Signal Processing Workshop (SSP), 2012 IEEE, Ann Arbor, MI, 2012 ISBN 9781467301824. doi:10.1109/SSP.2012.6319672
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Official URL: http://dx.doi.org/10.1109/SSP.2012.6319672
Abstract
Model comparison for the purposes of selection, averaging and validation is a problem which is found throughout statistics and signal processing. Within the Bayesian paradigm, these problems all require the calculation of the posterior probabilities of models within a particular class. Substantial progress has been made in recent years, but there are numerous difficulties in the practical implementation of existing schemes. This paper develops sequential Monte Carlo (SMC) sampling strategies to characterize the posterior distribution of a collection of models, as well as the parameters of those models which go some way towards addressing the difficulties encountered using other techniques. In particular, efficient characterization of the quantities of interest is provided using only within model simulation. Proof-of-concept simulations demonstrate the robustness and potential performance of the algorithm, particular via parallel implementation using a GPU or multi-core processor.
Item Type: | Conference Item (Paper) | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Publisher: | IEEE | ||||
ISBN: | 9781467301824 | ||||
Official Date: | 2012 | ||||
Dates: |
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DOI: | 10.1109/SSP.2012.6319672 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Conference Paper Type: | Paper | ||||
Title of Event: | Statistical Signal Processing Workshop (SSP), 2012 IEEE | ||||
Type of Event: | Conference | ||||
Location of Event: | Ann Arbor, MI | ||||
Date(s) of Event: | 2012 |
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