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Detection and estimation of signals by reversible jump Markov chain Monte Carlo computations

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4 Author(s)
P. M. Djuric ; Dept. of Electr. Eng., State Univ. of New York, Stony Brook, NY, USA ; S. J. Godsill ; W. J. Fitzgerald ; P. J. W. Rayner

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

Published in:

Acoustics, Speech and Signal Processing, 1998. Proceedings of the 1998 IEEE International Conference on  (Volume:4 )

Date of Conference:

12-15 May 1998