TY - GEN
T1 - Detection and estimation of signals by reversible jump Markov chain Monte Carlo computations
AU - Djuric, Petar M.
AU - Godsill, Simon J.
AU - Fitzgerald, William J.
AU - Rayner, Peter J.W.
PY - 1998
Y1 - 1998
N2 - Markov chain Monte Carlo (MCMC) samplers have been a very powerful methodology for estimating signal parameters. With the introduction of the reversible jump MCMC sampler, which is a Metropolis-Hastings method adapted to general state spaces, the potential of the MCMC methods has risen to a new level. Consequently, the MCMC methods currently play a major role in many research activities. In this paper we propose a reversible jump MCMC sampler based on predictive densities obtained by integrating out unwanted parameters. The proposal densities are approximations of the posterior distributions of the remaining parameters obtained by sampling importance resampling (SIR). We apply the method to the problem of signal detection and parameter estimation of signals. To illustrate the proposed procedure, we present an example of sinusoids embedded in noise.
AB - Markov chain Monte Carlo (MCMC) samplers have been a very powerful methodology for estimating signal parameters. With the introduction of the reversible jump MCMC sampler, which is a Metropolis-Hastings method adapted to general state spaces, the potential of the MCMC methods has risen to a new level. Consequently, the MCMC methods currently play a major role in many research activities. In this paper we propose a reversible jump MCMC sampler based on predictive densities obtained by integrating out unwanted parameters. The proposal densities are approximations of the posterior distributions of the remaining parameters obtained by sampling importance resampling (SIR). We apply the method to the problem of signal detection and parameter estimation of signals. To illustrate the proposed procedure, we present an example of sinusoids embedded in noise.
UR - https://www.scopus.com/pages/publications/0031631089
U2 - 10.1109/ICASSP.1998.681601
DO - 10.1109/ICASSP.1998.681601
M3 - Conference contribution
AN - SCOPUS:0031631089
SN - 0780344286
SN - 9780780344280
T3 - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
SP - 2269
EP - 2272
BT - Proceedings of the 1998 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 1998
T2 - 1998 23rd IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 1998
Y2 - 12 May 1998 through 15 May 1998
ER -