ON THE GEOMETRICAL CONVERGENCE OF GIBBS SAMPLER IN R-D

Authors
HWANG CR SHEU SJ
Citation
Cr. Hwang et Sj. Sheu, ON THE GEOMETRICAL CONVERGENCE OF GIBBS SAMPLER IN R-D, Journal of Multivariate Analysis, 66(1), 1998, pp. 22-37
Citations number
18
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Multivariate Analysis → ACNP
ISSN journal
0047259X
Volume
66
Issue
1
Year of publication
1998
Pages
22 - 37
Database
ISI
SICI code
0047-259X(1998)66:1<22:OTGCOG>2.0.ZU;2-9
Abstract
The geometrical convergence of the Gibbs sampler for simulating a prob ability distribution in R-d is proved. The distribution has a density which is a bounded perturbation of a log-concave function and satisfie s some growth conditions. The analysis is based on a representation of the Gibbs sampler and some powerful results from the theory of Harris recurrent Markov chains. (C) 1998 Academic Press.