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An exact Gibbs sampler for the Markov Modulated Poisson Process.

Fearnhead, P and Sherlock, C (2006) An exact Gibbs sampler for the Markov Modulated Poisson Process. Journal of the Royal Statistical Society Series B, 68 (5). pp. 767-784. ISSN 1467-9868

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Abstract

A Markov modulated Poisson process (MMPP) is a Poisson process whose intensity varies according to a Markov process. We present a novel technique for simulating from the exact distribution of a continuous time Markov chain over an interval given the start and end states and the infinitesimal generator, and use this to create a Gibbs sampler which samples from the exact distribution of the hidden Markov chain in an MMPP. We apply the Gibbs sampler to modelling the occurrence of a rare DNA motif (the Chi site) and to inferring regions of the genome with evidence of high or low intensities for occurrences of this site.

Item Type: Article
Journal or Publication Title: Journal of the Royal Statistical Society Series B
Uncontrolled Keywords: Gibbs sampler Markov modulated Poisson process
Subjects: Q Science > QA Mathematics
Departments: Faculty of Science and Technology > Mathematics and Statistics
ID Code: 849
Deposited By: Dr Chris Sherlock
Deposited On: 14 Dec 2007 11:27
Refereed?: Yes
Published?: Published
Last Modified: 09 Oct 2013 15:43
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/849

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