An exact Gibbs sampler for the Markov Modulated Poisson Process.

Mathematics and Statistics

Keywords

Gibbs sampler Markov modulated Poisson process

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published

Standard

An exact Gibbs sampler for the Markov Modulated Poisson Process. / Fearnhead, P ; Sherlock, C.
In: Journal of the Royal Statistical Society: Series B (Statistical Methodology), Vol. 68, No. 5, 2006, p. 767-784.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Fearnhead, P & Sherlock, C 2006, 'An exact Gibbs sampler for the Markov Modulated Poisson Process.', Journal of the Royal Statistical Society: Series B (Statistical Methodology), vol. 68, no. 5, pp. 767-784.

APA

Fearnhead, P., & 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), 767-784.

Vancouver

Fearnhead P , Sherlock C. An exact Gibbs sampler for the Markov Modulated Poisson Process. Journal of the Royal Statistical Society: Series B (Statistical Methodology). 2006;68(5):767-784.

Author

Fearnhead, P ; Sherlock, C. / An exact Gibbs sampler for the Markov Modulated Poisson Process. In: Journal of the Royal Statistical Society: Series B (Statistical Methodology). 2006 ; Vol. 68, No. 5. pp. 767-784.

Bibtex

@article{760c1668e6d34982981e438cc776ad39,

title = "An exact Gibbs sampler for the Markov Modulated Poisson Process.",

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.",

keywords = "Gibbs sampler Markov modulated Poisson process",

author = "P Fearnhead and C Sherlock",

year = "2006",

language = "English",

volume = "68",

pages = "767--784",

journal = "Journal of the Royal Statistical Society: Series B (Statistical Methodology)",

issn = "1369-7412",

publisher = "Wiley-Blackwell",

number = "5",

}

RIS

TY - JOUR

T1 - An exact Gibbs sampler for the Markov Modulated Poisson Process.

AU - Fearnhead, P

AU - Sherlock, C

PY - 2006

Y1 - 2006

N2 - 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.

AB - 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.

KW - Gibbs sampler Markov modulated Poisson process

M3 - Journal article

VL - 68

SP - 767

EP - 784

JO - Journal of the Royal Statistical Society: Series B (Statistical Methodology)

JF - Journal of the Royal Statistical Society: Series B (Statistical Methodology)

SN - 1369-7412

IS - 5

ER -

Research

Keywords