Abstract #300208

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JSM 2002 Abstract #300208
Activity Number: 339
Type: Invited
Date/Time: Wednesday, August 14, 2002 : 2:00 PM to 3:50 PM
Sponsor: Section on Statistical Computing*
Abstract - #300208
Title: Mixture Transition Monte Carlo: A Generalization of MCMC
Author(s): Monnie McGee*+
Affiliation(s): Hunter College/City University of New York
Address: 695 Park Avenue, New York, New York, 10021, USA
Keywords: MCMC ; simulation ; Mixture Transition Distributions
Abstract:

We propose to use a mixture transition distribution (MTD) model in place of the usual Markov Chain piece of a Monte Carlo Markov Chain to correct the mixing problem often occurring when using MCMC to explore higher dimensional, multimodal distributions. We begin by defining the MTD model and give a proof that using it in MCMC leads to the appropriate equilibrium distribution. We then present simulation results involving multi-modal and/or high dimensional distributions. We investigate how well these distributions are explored with both MCMC and MTMC. Finally, we apply the new method to a real data set, discuss our results, and mention further investigations.

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Revised March 2002