Geometric ergodicity of the Gibbs sampler for Bayesian quantile regression

DOI10.1016/J.JMVA.2012.05.004MaRDI QIDQ450861zbMATH OpenOpenAlexFDO

Authors Kshitij Khare, James P. Hobert

Publication date 26 September 2012

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2012.05.004

zbMATH Keywords

convergence rategeometric drift conditionMarkov chainMonte Carlo

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Sampling theory, sample surveys (62D05) Bayesian inference (62F15)

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Cites work

• A new proof of convergence of MCMC via the ergodic theorem
• A spectral analytic comparison of trace-class data augmentation algorithms and their sandwich variants
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• Bayesian quantile regression
• Fixed-Width Output Analysis for Markov Chain Monte Carlo
• General state space Markov chains and MCMC algorithms
• Gibbs sampling methods for Bayesian quantile regression
• scientific article; zbMATH DE number 1614382 (Why is no real title available?)
• Markov chain Monte Carlo: can we trust the third significant figure?
• Markov chains and stochastic stability
• Markov-chain monte carlo: Some practical implications of theoretical results
• Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo
• Quantile regression.

Cited in

(17)

• Gibbs posterior inference on multivariate quantiles
• Geometric ergodicity of Gibbs samplers in Bayesian penalized regression models
• Geometric ergodicity for Bayesian shrinkage models
• Bayesian joint-quantile regression
• Geometric ergodicity of the Bayesian Lasso
• scientific article; zbMATH DE number 3980274 (Why is no real title available?)
• Analysis of MCMC algorithms for Bayesian linear regression with Laplace errors
• Berry–Esséen theorem for sample quantiles of asymptotically uncorrelated non reversible Markov chains
• A Bayesian Approach to Envelope Quantile Regression
• Bayesian Approaches to Shrinkage and Sparse Estimation
• Model selection in quantile regression models
• Bayesian analysis for zero-or-one inflated proportion data using quantile regression
• Gibbs sampling methods for Bayesian quantile regression
• Posterior Inference in Bayesian Quantile Regression with Asymmetric Laplace Likelihood
• A Bayesian Approach to Multiple-Output Quantile Regression
• Exact convergence analysis for metropolis–hastings independence samplers in Wasserstein distances
• Monitoring multi-country macroeconomic risk: a quantile factor-augmented vector autoregressive (QFAVAR) approach

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