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

DOI10.1111/SJOS.12310zbMATH Open1403.62132OpenAlexW2782752599MaRDI QIDQ4685441FDOQ4685441

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

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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)

Cited In (5)

• Convergence analysis of a collapsed Gibbs sampler for Bayesian vector autoregressions
• A hybrid scan Gibbs sampler for Bayesian models with latent variables
• On Monte Carlo methods for Bayesian multivariate regression models with heavy-tailed errors
• Convergence rates for MCMC algorithms for a robust Bayesian binary regression model
• Trace-class Monte Carlo Markov chains for Bayesian multivariate linear regression with non-Gaussian errors

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