Convergence of slice sampler Markov chains

Citation
Go. Roberts et Js. Rosenthal, Convergence of slice sampler Markov chains, J ROY STA B, 61, 1999, pp. 643-660
Citations number
26
Categorie Soggetti
Mathematics
Journal title
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
ISSN journal
13697412 → ACNP
Volume
61
Year of publication
1999
Part
3
Pages
643 - 660
Database
ISI
SICI code
1369-7412(1999)61:<643:COSSMC>2.0.ZU;2-7
Abstract
We analyse theoretical properties of the slice sampler. We find that the al gorithm has extremely robust geometric ergodicity properties. For the case of just one auxiliary variable, we demonstrate that the algorithm is stocha stically monotone, and we deduce analytic bounds on the total variation dis tance from stationarity of the method by using Foster-Lyapunov drift condit ion methodology.