Stability of the Gibbs sampler for Bayesian hierarchical models (Q2477054)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stability of the Gibbs sampler for Bayesian hierarchical models |
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Stability of the Gibbs sampler for Bayesian hierarchical models (English)
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12 March 2008
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The authors characterize the convergence of the Gibbs sampler which samples from the joint posterior distribution of parameters and missing data in hierarchical linear models with arbitrary symmetric error distributions. It is shown that the convergence can be uniform, geometric or subgeometric depending on the relative tail behavior of the error distributions, and on the parametrization chosen. The proved theory is applied to characterize the convergence of the Gibbs sampler on latent Gaussian process models.
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geometric ergodicity
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capacitance
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collapsed Gibbs sampler
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state-space models
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parametrization
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Bayesian robustness
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convergence
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hierarchical linear models
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Gaussian process models
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