Spectral properties of MCMC algorithms for Bayesian linear regression with generalized hyperbolic errors

DOI10.1016/j.spl.2014.07.034zbMath1300.47111OpenAlexW2128589527MaRDI QIDQ464471

Yeun Ji Jung, James P. Hobert

Publication date: 27 October 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.07.034

zbMATH Keywords

trace-class operatorsandwich algorithmMarkov operatorBessel functiondata augmentation algorithmgeometric convergence rate

Mathematics Subject Classification ID

Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40) Applications of operator theory in numerical analysis (47N40) Applications of operator theory in probability theory and statistics (47N30)

Related Items

Trace-class Monte Carlo Markov chains for Bayesian multivariate linear regression with non-Gaussian errors, A hybrid scan Gibbs sampler for Bayesian models with latent variables

Cites Work

• Analysis of MCMC algorithms for Bayesian linear regression with Laplace errors
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• Geometric ergodicity and hybrid Markov chains
• A theoretical comparison of the data augmentation, marginal augmentation and PX-DA algorithms
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• Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
• Asymptotic Variance and Convergence Rates of Nearly-Periodic Markov Chain Monte Carlo Algorithms
• BAYESIAN REGRESSION ANALYSIS WITH SCALE MIXTURES OF NORMALS
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