Geometric ergodicity of random scan Gibbs samplers for hierarchical one-way random effects models

DOI10.1016/J.JMVA.2015.06.002zbMATH Open1339.60101OpenAlexW636647991MaRDI QIDQ495387FDOQ495387

Alicia A. Johnson, Galin L. Jones

Publication date: 10 September 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.06.002

zbMATH Keywords

convergenceGibbs samplingMarkov chain Monte Carlo methodgeometric ergodicityone-way random effects

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Discrete-time Markov processes on general state spaces (60J05)

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Cited In (8)

• Convergence analysis of a collapsed Gibbs sampler for Bayesian vector autoregressions
• Convergence rates of two-component MCMC samplers
• Analyzing Markov chain Monte Carlo output
• Multivariate initial sequence estimators in Markov chain Monte Carlo
• Assessing and Visualizing Simultaneous Simulation Error
• Fast Monte Carlo Markov chains for Bayesian shrinkage models with random effects
• Density regression and uncertainty quantification with Bayesian deep noise neural networks
• Spectral telescope: convergence rate bounds for random-scan Gibbs samplers based on a hierarchical structure

Uses Software

• mcmcse

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