Convergence rates for a hierarchical Gibbs sampler (Q502894)

Specific results are given for the rate of convergence of a Markov chain resulting from the application of Gibbs sampling to a hierarchical gamma model. In particular, observations are assumed to come from conditional iid sampling from a gamma distribution with fixed shape parameter and random scale parameter. In turn, the inverse scale parameter is assumed to be sampled from a higher level gamma distribution, and so on 3 or 4 times. The results are rather technical and the proofs rely on repeated applications of coupling and of properties of Markov processes. Explicit formulas for the convergence rates of Gibbs samplers are not common; here, the convergence considered is in the total variation metric.