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

DOI10.3150/15-BEJ749MaRDI QIDQ502882zbMATH OpenOpenAlexFDO

Authors Tavis Abrahamsen, James P. Hobert

Publication date 11 January 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.05460, https://projecteuclid.org/euclid.bj/1475001361

zbMATH Keywords

conditionally conjugate priorconvergence rategeometric ergodicityimproper prior

Mathematics Subject Classification ID

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

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.

Review text

This paper considers the Markov Chain Monte Carlo sampling for the Bayesian inference of the general linear mixed model, \(Y=X\beta + \sum_{i=1}^{r}Z_{i}u_{i} + e\), where \(Y\) is an observable data vector, \(X\) is the design matrix, \(\{Z_{i}\}_{i=1}^{r}\) are known matrices, \(\beta\) is an unknown regression coefficient, \(u=(u_{1}^{T}\;u_{2}^{T}\; \cdots\; u_{r}^{T})^{T}\) is a vector of Gaussian random vectors, and \(e\) is a Gaussian noise vector. As the main proposition of this paper, the authors show sufficient conditions for geometric ergodicity of the block Gibbs sampler of \(\theta=(\beta^{T}, u^{T})^{T}\) and the precision parameters of \(e\) and \(u\). Two corollaries of this proposition prove the convergence property of the block Gibbs sampler in the cases of a proper prior and an improper prior, respectively. The corollaries also remove assumptions on the rank of the design matrix \(X\), which were previously assumed in existing convergence analyses.

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