On the joint Bayesian model selection and estimation of sinusoids via Reversible Jump MCMC in low SNR situations

This paper addresses the behavior in low SNR situations of the algorithm proposed by Andrieu and Doucet (IEEE T. Signal Proces., 47(10), 1999) for the joint Bayesian model selection and estimation of sinusoids in Gaussian white noise. It is shown that the value of a certain hyperparameter, claimed to be weakly influential in the original paper, becomes in fact quite important in this context. This robustness issue is fixed by a suitable modification of the prior distribution, based on model selection considerations. Numerical experiments show that the resulting algorithm is more robust to the value of its hyperparameters.