Quick Tutorial for a Reversible Jump MCMC sampler

The following slides are a presentation that I made for a class involving constructing a reversible jump markov chain monte carlo sampler – Which everyone seems to be terrified of for some reason. All we have to do is to be careful about our storage matrix and that it is formatted to keep track of the matrix dimension. An additional variable storage of this dimension is recommended.

MHG1.png

MHG2.png

MHG3

MHG4

MHG5

MHG6

MHG7

MHG8

MHG9

MHG10

MHG11

MHG12

MHGMAT1.png

MHGMAT2.png

MHGLikeChange.png

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Traces

If you would like this presentation for your class please email me!

If you liked this, check out some of my other posts!

-Andrew G. Chapple

Keywords: Reversible Jump Sampling, How to perform Reversible Jump MCMC, Tips for MCMC, Reversible Jump moves, Metropolis Hastings-Green Sampler, Bayesian Statistics with varying parameter spaces

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