Approximating the Spectral Gap of the P\'olya-Gamma Gibbs Sampler

arXiv2104.13419MaRDI QIDQ6366284FDOQ6366284

Bryant Davis, James P. Hobert

Publication date: 27 April 2021

Abstract: The self-adjoint, positive Markov operator defined by the P'olya-Gamma Gibbs sampler (under a proper normal prior) is shown to be trace-class, which implies that all non-zero elements of its spectrum are eigenvalues. Consequently, the spectral gap is $1-lambd{a}_{*}$, where $lambd{a}_{*}in[0,1)$ is the second largest eigenvalue. A method of constructing an asymptotically valid confidence interval for an upper bound on $lambd{a}_{*}$ is developed by adapting the classical Monte Carlo technique of Qin et al. (2019) to the P'olya-Gamma Gibbs sampler. The results are illustrated using the German credit data. It is also shown that, in general, uniform ergodicity does not imply the trace-class property, nor does the trace-class property imply uniform ergodicity.

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