Rate of convergence of the Gibbs sampler in the Gaussian case

DOI10.1023/A:1011094131273MaRDI QIDQ1863202zbMATH OpenOpenAlexFDO

Authors Alain Galli, Haiyu Gao

Publication date 11 March 2003

Published in Mathematical Geology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1011094131273

zbMATH Keywords

convergenceGauss-Seidel iterationsGaussian distributionGibbs sampleroverrelaxed Gauss-Seidel iterationsspectral radius

Mathematics Subject Classification ID

Geostatistics (86A32)

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• Convergence rate and concentration inequalities for Gibbs sampling in high dimension
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• General over-relaxation Markov chain Monte Carlo algorithms for Gaussian densities
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• Simulating large Gaussian random vectors subject to inequality constraints by Gibbs sampling
• Convergence rate of Gibbs sampler and its application
• Substitution random field with Gaussian and gamma distributions: theory and application to a pollution data set

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