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Joint Model Selection and Parameter Estimation by Population Monte Carlo Simulation

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3 Author(s)
Mingyi Hong ; Dept. of Syst. & Inf. Eng., Univ. of Virginia, Charlottesville, VA, USA ; Bugallo, M.F. ; Djurić, P.M.

In this paper, we study the problem of joint model selection and parameter estimation under the Bayesian framework. We propose to use the Population Monte Carlo (PMC) methodology in carrying out Bayesian computations. The PMC methodology has recently been proposed as an efficient sampling technique and an alternative to Markov Chain Monte Carlo (MCMC) sampling. Its flexibility in constructing transition kernels allows for joint sampling of parameter spaces that belong to different models. The proposed method is able to estimate the desired a posteriori distributions accurately. In comparison to the Reversible Jump MCMC (RJMCMC) algorithm, which is popular in solving the same problem, the PMC algorithm does not require burn-in period, it produces approximately uncorrelated samples, and it can be implemented in a parallel fashion. We demonstrate our approach on two examples: sinusoids in white Gaussian noise and direction of arrival (DOA) estimation in colored Gaussian noise, where in both cases the number of signals in the data is a priori unknown. Both simulations show the effectiveness of our proposed algorithm.

Published in:

Selected Topics in Signal Processing, IEEE Journal of  (Volume:4 ,  Issue: 3 )

Date of Publication:

June 2010

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