Convergence analysis of MCMC algorithms for Bayesian multivariate linear regression with non-Gaussian errors

DOI10.1111/SJOS.12310MaRDI QIDQ4685441zbMATH OpenOpenAlexFDO

Authors James P. Hobert, Yeun Ji Jung, Kshitij Khare, Qian Qin

Publication date 8 October 2018

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/sjos.12310

zbMATH Keywords

drift conditionscale mixturegeometric ergodicityheavy-tailed distributiondata augmentation algorithmminorization conditionHaar PX-DA algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12)

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Cited in

(9)

• Spectral properties of MCMC algorithms for Bayesian linear regression with generalized hyperbolic errors
• Trace-class Monte Carlo Markov chains for Bayesian multivariate linear regression with non-Gaussian errors
• Analysis of MCMC algorithms for Bayesian linear regression with Laplace errors
• On Monte Carlo methods for Bayesian multivariate regression models with heavy-tailed errors
• Improper and proper posteriors with improper hierarchical priors in a multivariate linear model
• Convergence rates for MCMC algorithms for a robust Bayesian binary regression model
• A hybrid scan Gibbs sampler for Bayesian models with latent variables
• Convergence analysis of a collapsed Gibbs sampler for Bayesian vector autoregressions
• Convergence properties of Gibbs samplers for Bayesian probit regression with proper priors

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