Factorization of separable and patterned covariance matrices for Gibbs sampling

DOI10.1515/MCMA.2000.6.3.205MaRDI QIDQ2706997zbMATH OpenOpenAlexFDO

Authors Daniel B. Rowe

Publication date 4 October 2001

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma.2000.6.3.205

zbMATH Keywords

Bayesian statisticsGibbs samplelatent rootslatent vectorsmatrix factorizationparameter estimationrandom sample

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Point estimation (62F10) Direct numerical methods for linear systems and matrix inversion (65F05)

Recommendations

• Use of the Gibbs sampler to invert large, possibly sparse, positive definite matrices
• Gibbs sampler for computing and propagating large covariance matrices
• Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
• Accelerated Gibbs sampling of normal distributions using matrix splittings and polynomials
• scientific article; zbMATH DE number 472921

Cited in

(2)

• Bayesian factor analysis for spatially correlated data: application to cancer incidence data in Scotland
• Gibbs sampler for computing and propagating large covariance matrices

This page was built for publication: Factorization of separable and patterned covariance matrices for Gibbs sampling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2706997)