Convergence analysis of a collapsed Gibbs sampler for Bayesian vector autoregressions
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Publication:2044318
DOI10.1214/21-EJS1800zbMath1476.62056arXiv1907.03170OpenAlexW3124264335MaRDI QIDQ2044318
Karl Oskar Ekvall, Galin L. Jones
Publication date: 9 August 2021
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.03170
Markov chain Monte CarloGibbs samplergeometric ergodicityBayesian vector autoregressionconvergence complexity analysis
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)
Related Items (5)
Convergence rates of two-component MCMC samplers ⋮ Assessing and Visualizing Simultaneous Simulation Error ⋮ Exact convergence analysis for metropolis–hastings independence samplers in Wasserstein distances ⋮ On the limitations of single-step drift and minorization in Markov chain convergence analysis ⋮ On the convergence complexity of Gibbs samplers for a family of simple Bayesian random effects models
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