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 (Statistical Methodology), 68 (5). pp. 767-784. ISSN 1369-7412

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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:
Journal Article
Journal or Publication Title:
Journal of the Royal Statistical Society: Series B (Statistical Methodology)
Uncontrolled Keywords:
/dk/atira/pure/researchoutput/libraryofcongress/qa
Subjects:
?? GIBBS SAMPLER MARKOV MODULATED POISSON PROCESSSTATISTICS AND PROBABILITYSTATISTICS, PROBABILITY AND UNCERTAINTYQA MATHEMATICS ??
ID Code:
849
Deposited By:
Deposited On:
14 Dec 2007 11:27
Refereed?:
Yes
Published?:
Published
Last Modified:
15 Sep 2023 03:56