Convergence Analysis of MCMC Algorithms for Bayesian Multivariate Linear Regression with Non‐Gaussian Errors

DOI10.1111/sjos.12310zbMath1403.62132OpenAlexW2782752599MaRDI QIDQ4685441

Yeun Ji Jung, Kshitij Khare, James P. Hobert, 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

heavy-tailed distributiongeometric ergodicitydata augmentation algorithmscale mixturedrift conditionminorization conditionHaar PX-DA algorithm

Mathematics Subject Classification ID

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

Related Items (3)

Trace-class Monte Carlo Markov chains for Bayesian multivariate linear regression with non-Gaussian errors ⋮ Convergence analysis of a collapsed Gibbs sampler for Bayesian vector autoregressions ⋮ A hybrid scan Gibbs sampler for Bayesian models with latent variables

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