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Approximate predetermined convergence properties of the Gibbs sampler

Roberts, G.O. and Sahu, S.K. (2001) Approximate predetermined convergence properties of the Gibbs sampler Journal of Computational and Graphical Statistics, 10, (2), pp. 216-229.

Record type: Article

Abstract

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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More information

Published date: 2001
Keywords: em algorithm, gaussian distribution, generalized linear models, hierarchical centering, laplace approximation, markhov chain
Organisations: Statistics

Identifiers

Local EPrints ID: 30040
URI: http://eprints.soton.ac.uk/id/eprint/30040
ISSN: 1061-8600
PURE UUID: 08a19aa2-19c5-4875-93ee-4f030506c62c
ORCID for S.K. Sahu: ORCID iD orcid.org/0000-0003-2315-3598

Catalogue record

Date deposited: 11 May 2006
Last modified: 17 Jul 2017 15:55

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Contributors

Author: G.O. Roberts
Author: S.K. Sahu ORCID iD

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