Reversible-jump Markov chain Monte Carlo (source code)

= Reversible-jump Markov chain Monte Carlo
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= RJ-MCMC
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<Reversible-jump Markov chain Monte Carlo> samples a posterior on a disjoint union of model-specific parameter spaces. A dimension-matching bijection between old parameters plus auxiliary variables and new parameters plus reverse auxiliary variables supplies a reversible proposal. Its acceptance ratio includes posterior-density, model-selection, proposal-density, and <Jacobian determinant> factors. The <equal-dimension reversible-jump acceptance probability> is the ordinary density-based special case.