Improving efficiency of data augmentation algorithms using Peskun's theorem

DOI10.1007/S00180-015-0632-4zbMATH Open1342.65060OpenAlexW2287837679WikidataQ60521520 ScholiaQ60521520MaRDI QIDQ736654FDOQ736654

Authors: Vivekananda Roy 

Publication date: 4 August 2016

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-015-0632-4

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zbMATH Keywords

MCMCPeskun orderingefficiency orderingmodified data augmentationRao Blackwellization

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Numerical analysis or methods applied to Markov chains (65C40)

Cites Work

• The Calculation of Posterior Distributions by Data Augmentation
• Seeking efficient data augmentation schemes via conditional and marginal augmentation
• Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
• Title not available (Why is that?)
• A note on Metropolis-Hastings kernels for general state spaces
• Parameter Expansion for Data Augmentation
• Markov chains and stochastic stability
• General state space Markov chains and MCMC algorithms
• On the Markov chain central limit theorem
• Central limit theorem for additive functionals of reversible Markov processes and applications to simple exclusions
• Markov Chains
• Optimum Monte-Carlo sampling using Markov chains
• Efficient estimation of the link function parameter in a robust Bayesian binary regression model
• The data augmentation algorithm: theory and methodology
• A theoretical comparison of the data augmentation, marginal augmentation and PX-DA algorithms
• Asymptotic Variance and Convergence Rates of Nearly-Periodic Markov Chain Monte Carlo Algorithms
• Improving the convergence properties of the data augmentation algorithm with an application to Bayesian mixture modeling
• A spectral analytic comparison of trace-class data augmentation algorithms and their sandwich variants
• Miscellanea. Peskun's theorem and a modified discrete-state Gibbs sampler
• Convergence of conditional Metropolis-Hastings samplers
• A novel sandwich algorithm for empirical Bayes analysis of rank data

Cited In (5)

• Norm comparisons for data augmentation
• A spectral analytic comparison of trace-class data augmentation algorithms and their sandwich variants
• Title not available (Why is that?)
• A theoretical comparison of the data augmentation, marginal augmentation and PX-DA algorithms
• A comparison theorem for data augmentation algorithms with applications

Uses Software

• R

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