On the geometrical convergence of Gibbs sampler in R^d

DOI10.1006/JMVA.1997.1735MaRDI QIDQ1268005zbMATHOpenAlexFDO

Authors K. Appert

Publication date 14 October 1998

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

Full work available at URL https://doi.org/10.1006/jmva.1997.1735

zbMATH Keywords

Markov chainGibbs samplerMetropolis algorithmMonte Carlo Markov chaingeometrical convergenceHarris recurrencenonlinear autoregressionStochastic relaxation

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 472933 (Why is no real title available?)
• scientific article; zbMATH DE number 947422 (Why is no real title available?)
• Accelerating Gaussian diffusions
• Comparing sweep strategies for stochastic relaxation
• Convergence properties of the Gibbs sampler for perturbations of Gaussians
• General Irreducible Markov Chains and Non-Negative Operators
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• Lectures on diffusion problems and partial differential equations. Notes by Pl. Muthuramalingam, Tara R. Nanda
• Metropolis-Type Annealing Algorithms for Global Optimization in $\mathbb{R}^d $
• Non-linear time series and Markov chains
• On rates of convergence of stochastic relaxation for Gaussian and non- Gaussian distributions
• On the convergence of the Markov chain simulation method
• Rates of convergence of the Hastings and Metropolis algorithms
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(11)

• On the geometric ergodicity of two-variable Gibbs samplers
• A dimension-independent bound on the Wasserstein contraction rate of a geodesic random walk on the sphere
• Accelerating diffusions
• Almost sure convergence of the Kaczmarz algorithm with random measurements
• Convergence of Gibbs sampling: coordinate hit-and-run mixes fast
• Mixing time of an unaligned Gibbs sampler on the square
• Singularly perturbed Markov chains: Convergence and aggregation
• scientific article; zbMATH DE number 597902 (Why is no real title available?)
• Trivial intersection of \(\sigma \)-fields and Gibbs sampling
• Functional central limit theorems for the Gibbs sampler
• Convergence properties of the Gibbs sampler for perturbations of Gaussians

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