Convergence analysis of block Gibbs samplers for Bayesian linear mixed models with p>N

DOI10.3150/15-BEJ749zbMATH Open1368.62061arXiv1502.05460OpenAlexW2101142126MaRDI QIDQ502882FDOQ502882

Authors: Tavis Abrahamsen, James P. Hobert 

Publication date: 11 January 2017

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Exploration of the intractable posterior distributions associated with Bayesian versions of the general linear mixed model is often performed using Markov chain Monte Carlo. In particular, if a conditionally conjugate prior is used, then there is a simple two-block Gibbs sampler available. Rom'{a}n and Hobert [Linear Algebra Appl. 473 (2015) 54-77] showed that, when the priors are proper and the $X$ matrix has full column rank, the Markov chains underlying these Gibbs samplers are nearly always geometrically ergodic. In this paper, Rom'{a}n and Hobert's (2015) result is extended by allowing improper priors on the variance components, and, more importantly, by removing all assumptions on the $X$ matrix. So, not only is $X$ allowed to be (column) rank deficient, which provides additional flexibility in parameterizing the fixed effects, it is also allowed to have more columns than rows, which is necessary in the increasingly important situation where $p>N$. The full rank assumption on $X$ is at the heart of Rom'{a}n and Hobert's (2015) proof. Consequently, the extension to unrestricted $X$ requires a substantially different analysis.

Full work available at URL: https://arxiv.org/abs/1502.05460

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zbMATH Keywords

convergence rategeometric ergodicityconditionally conjugate priorimproper prior

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Linear regression; mixed models (62J05)

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