LTPDA Toolbox™ contents Method: ao/resample   Method: ao/rms

Method ao/rjsample

  RJSAMPLE Reverse Jump MCMC sampling using the "Metropolized Carlin And Chib" Method.
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  Reverse Jump MCMC sampling using the "Metropolized Carlin And Chib" Method.
 
               Warning: The function mhsample does not performs sanity
                        checks on the inputs. It assumes that the given
                        data-sets are in frequency domain and correctly
                        defined.
 
  CALL:        p = rjsample(out, pl)
 
  INPUTS:      out     - analysis objects with measured outputs
 
               pl      - parameter list
 
  OUTPUTS:     p       - pest object contatining estimated information
 
  Parameters Description
 
  N. Karnesis 27/09/2011
 
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Method Details
Access public
Defining Class ao
Sealed 0
Static 0

Parameter Description

Sets for this method …
Default

Default
no description
Key Default Value Options Description
rjsample
METHOD 'RJMCMC'
  • 'RJMCMC'
  • 'LF'
  • 'LM'
  • 'SBIC'
 Method to use to compare two (or more) models. The choises available are; RJMCMC, Laplace-Metropolis (LM), Laplace-Fisher (LF) and Schwarz-Bayes Information Criterion (SBIC). Default is RJMCMC. Each method needs some compulsory fields to be filled in the plist.
INNAMES '' none Input names. Used for ssm models
OUTNAMES '' none Output names. Used for ssm models
MODELS '' none A cell array input of models.
FITPARAMS [] none A cell array of evaluated parameters for each model.
INPUT '' none A matrix array of input signals.
N 1000 none number of samples of the chain.
NEFF [] none Number of effective samples to be used for the estimation of the SBIC. If left empty, then Neff = number of samples of the data.
COV 0.0001 none Cell array containing the covariances of the gaussian jumping distribution for each model.
NOISE '' none A matrix array of noise spectrum (PSD) used to compute the likelihood.
MODELFREQDEPENDENT 1
  • 1
  • 0
 Set to true to use frequency dependent s models, set to false when using constant models
SEARCH 1
  • 1
  • 0
 Set to true to use bigger jumps in parameter space during annealing and cool down.
FREQUENCIES [] none Range of frequencies where the analysis is performed. If an array, only first and last are used
FSOUT [] none Desired sampling frequency to resample the input time series
HEAT 1 none The heat index flattening likelihood surface during annealing.
TC '' none An array of two values setting the initial and final value for the cooling down.
X0 [] none The proposed initial values (cell array again).
RANGE [] none Ranges
BURNIN 1 none If method is RJMCMC, choose number of samples to be discarded to compute B.
JUMPS [] none An array of four numbers setting the rescaling of the covariance matrix during the search phase.The first value is the one applied by default, the following thhree apply just when the chain sample ismod(10), mod(25) and mod(100) respectively.
PLOT BF [] none Case: RJMCMC: If set equal to true, the evolution of the Bayes factor and the Loglikelihoodsare plotted every 500 steps. Case: LM: vector for plotting the chains during the mcmc runs.
PLOT PARAMETERS [] none A cell array that includes the parameters names desired to create the trace plots.
DEBUG 0
  • 0
  • 1
 Set to true to get debug information of the MCMC process.
OUTMODEL '' none Output model. Still under test
SCALE MATRIX '' none A matrix array of noise spectrum (PSD) used to compute the likelihood. It is possible to input just a scale matrix, containing the desirable weights.
LOG PARAMETERS '' none Select the parameters to be treated in log scale.
LOG-LIKELIHOOD '' none The log-likelihood to sample with the MH algorithm. If left empty, then the standard Gaussian approximation will be employed.
FREQUENCIES VECTOR 200 none A vector of frequencies. Used for the update of the Fisher Matrix during the MH sampling.
INMODEL '' none Input model. Still under test
FPRINT 100 none Print progress on screen every specified numeber of samples.

Example
plist('METHOD', 'RJMCMC', 'INNAMES', '', 'OUTNAMES', '', 'MODELS', '', 'FITPARAMS', [[]], 'INPUT', '', 'N', [1000], 'NEFF', [[]], 'COV', [0.0001], 'NOISE', '', 'MODELFREQDEPENDENT', [true], 'SEARCH', [true], 'FREQUENCIES', [[]], 'FSOUT', [[]], 'HEAT', [1], 'TC', '', 'X0', [[]], 'RANGE', [[]], 'BURNIN', [1], 'JUMPS', [[]], 'PLOT BF', [[]], 'PLOT PARAMETERS', [[]], 'DEBUG', [false], 'OUTMODEL', '', 'SCALE MATRIX', '', 'LOG PARAMETERS', '', 'LOG-LIKELIHOOD', '', 'FREQUENCIES VECTOR', [200], 'INMODEL', '', 'FPRINT', [100])

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Some information of the method ao/rjsample are listed below:
Class name ao
Method name rjsample
Category Signal Processing
Package name ltpda
VCS Version 967b0eec0dece803a81af8ef54ad2f8c784b20b2
Min input args 1
Max input args -1
Min output args 1
Max output args -1
Can be used as modifier 1
Supported numeric types {'double'}



Method: ao/resample  Method: ao/resample   Method: ao/rms Method: ao/rms

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