Convergence of conditional Metropolis-Hastings samplers

DOI10.1239/AAP/1401369701zbMATH Open1379.60082OpenAlexW2139831589MaRDI QIDQ5169501FDOQ5169501

Authors: Galin L. Jones, Gareth O. Roberts, Jeffrey S. Rosenthal 

Publication date: 10 July 2014

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1401369701

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zbMATH Keywords

Gibbs samplerconvergence rategeometric ergodicityMarkov chain Monte Carlo algorithmindependence sampler

Mathematics Subject Classification ID

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

Cites Work

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• Geometric Ergodicity of van Dyk and Meng's Algorithm for the Multivariate Student'stModel
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Cited In (15)

• Uniform ergodicity of the iterated conditional SMC and geometric ergodicity of particle Gibbs samplers
• Bayesian variable selection in a finite mixture of linear mixed-effects models
• A modified conditional Metropolis-Hastings sampler
• A hybrid scan Gibbs sampler for Bayesian models with latent variables
• Geometric ergodicity of Gibbs samplers for the horseshoe and its regularized variants
• Convergence rates of two-component MCMC samplers
• Convergence of the equi-energy sampler
• Improving efficiency of data augmentation algorithms using Peskun's theorem
• Convergence rates of Metropolis-Hastings algorithms
• Geometric ergodicity of a more efficient conditional Metropolis-Hastings algorithm
• Geometric ergodicity of random scan Gibbs samplers for hierarchical one-way random effects models
• Component-wise Markov chain Monte Carlo: uniform and geometric ergodicity under mixing and composition
• Assessing and Visualizing Simultaneous Simulation Error
• On convergence of the iterative conditional estimations
• Fast Monte Carlo Markov chains for Bayesian shrinkage models with random effects

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