Roberts, G.O. and Sahu, S.K.
Updating schemes, correlation structure, blocking and parameterisation for the Gibbs sampler
Journal of the Royal Statistical Society. Series B (Methodological), 59, (2), . (doi:10.1111/1467-9868.00070).
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In this paper many convergence issues concerning the implementation of the Gibbs sampler are investigated. Exact computable rates of convergence for Gaussian target distributions are obtained. Different random and non-random updating strategies and blocking combinations are compared using the rates. The effect of dimensionality and correlation structure on the convergence rates are studied. Some examples are considered to demonstrate the results. For a Gaussian image analysis problem several updating strategies are described and compared. For problems in Bayesian linear models several possible parameterizations are analysed in terms of their convergence rates characterizing the optimal choice.
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