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

DOI10.1016/J.SPL.2014.07.034MaRDI QIDQ464471zbMATH OpenOpenAlexFDO

Authors 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

Bessel functiondata augmentation algorithmgeometric convergence rateMarkov operatorsandwich algorithmtrace-class operator

Mathematics Subject Classification ID

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

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Cites work

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• BAYESIAN REGRESSION ANALYSIS WITH SCALE MIXTURES OF NORMALS
• Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
• Fixed-Width Output Analysis for Markov Chain Monte Carlo
• Geometric ergodicity and hybrid Markov chains
• Geometric ergodicity for Bayesian shrinkage models
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• On Monte Carlo methods for Bayesian multivariate regression models with heavy-tailed errors

Cited in

(5)

• 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
• Analysis of MCMC algorithms for Bayesian linear regression with Laplace errors
• Efficiency of Markov chains for Bayesian linear regression models with heavy-tailed errors
• Bayesian linear regression with skew-symmetric error distributions with applications to survival analysis

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