Roberts, G.O. and Sahu, S.K.
Approximate predetermined convergence properties of the Gibbs sampler
Journal of Computational and Graphical Statistics, 10, (2), .
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This article aims to provide a method for approximately predetermining convergence properties of the Gibbs sampler. This is to be done by first finding an approximate rate of convergence for a normal approximation of the target distribution. The rates of convergence for different implementation strategies of the Gibbs sampler are compared to find the best one. In general, the limiting convergence properties of the Gibbs sampler on a sequence of target distributions (approaching a limit) are not the same as the convergence properties of the Gibbs sampler on the limiting target distribution. Theoretical results are given in this article to justify that under conditions, the convergence properties of the Gibbs sampler can be approximated as well. A number of practical examples are given for illustration.
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