Geometric ergodicity of Pólya-Gamma Gibbs sampler for Bayesian logistic regression with a flat prior

DOI10.1214/18-EJS1481zbMath1402.60088arXiv1802.06248OpenAlexW2963483298MaRDI QIDQ1616313

Xin Wang, Vivekananda Roy

Publication date: 1 November 2018

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.06248

zbMATH Keywords

Markov chaincentral limit theoremposterior proprietydata augmentationdrift conditiongeometric rate

Mathematics Subject Classification ID

Bayesian inference (62F15) Discrete-time Markov processes on general state spaces (60J05)

Related Items (9)

Tractable Bayesian density regression via logit stick-breaking priors ⋮ Convergence rates of two-component MCMC samplers ⋮ Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators ⋮ Convergence of Position-Dependent MALA with Application to Conditional Simulation in GLMMs ⋮ Shrinkage with shrunken shoulders: Gibbs sampling shrinkage model posteriors with guaranteed convergence rates ⋮ Bayesian inference for multidimensional graded response model using Pólya-Gamma latent variables ⋮ Asynchronous and Distributed Data Augmentation for Massive Data Settings ⋮ Convergence analysis of the block Gibbs sampler for Bayesian probit linear mixed models with improper priors ⋮ Block Gibbs samplers for logistic mixed models: convergence properties and a comparison with full Gibbs samplers

Uses Software

• DLMF
• BayesLogit

Cites Work

• The Pólya-gamma Gibbs sampler for Bayesian logistic regression is uniformly ergodic
• Monte Carlo methods for improper target distributions
• Analysis of Polya-Gamma Gibbs sampler for Bayesian logistic analysis of variance
• A new proof of convergence of MCMC via the ergodic theorem
• Markov chains and stochastic stability
• On Monte Carlo methods for Bayesian multivariate regression models with heavy-tailed errors
• Geometric ergodicity and hybrid Markov chains
• Honest exploration of intractable probability distributions via Markov chain Monte Carlo.
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• Markov Chains and De-initializing Processes
• Propriety of posterior distribution for dichotomous quantal response models
• Convergence Rates and Asymptotic Standard Errors for Markov Chain Monte Carlo Algorithms for Bayesian Probit Regression
• Bayesian Analysis of Binary and Polychotomous Response Data
• Bayesian Inference for Logistic Models Using Pólya–Gamma Latent Variables
• Bayesian auxiliary variable models for binary and multinomial regression
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