An Exact Gibbs Sampler for the Markov-Modulated Poisson Process
- 24 October 2006
- journal article
- Published by Oxford University Press (OUP) in Journal of the Royal Statistical Society Series B: Statistical Methodology
- Vol. 68 (5) , 767-784
- https://doi.org/10.1111/j.1467-9868.2006.00566.x
Abstract
Summary: A Markov-modulated Poisson process 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 we use this to create a Gibbs sampler which samples from the exact distribution of the hidden Markov chain in a Markov-modulated Poisson process. 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
Funding Information
- Engineering and Physical Sciences Research Council (GR/R91724/01, GR/T19698/01)
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