Optimizing random scan Gibbs samplers

DOI10.1016/J.JMVA.2006.05.008zbMATH Open1101.62087OpenAlexW2047040233MaRDI QIDQ853941FDOQ853941

Authors Richard A. Levine, George Casella

Publication date 7 December 2006

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2006.05.008

zbMATH Keywords

Markov chain Monte Carlodecision theoryminimax riskadaptive sweep strategiesdeterministic scan Gibbs sampler

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Inference from stochastic processes (62M99) Numerical analysis or methods applied to Markov chains (65C40) Asymptotic distribution theory in statistics (62E20) Minimax procedures in statistical decision theory (62C20)

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• Bayesian Density Estimation and Inference Using Mixtures
• Comparing sweep strategies for stochastic relaxation
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• Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
• Estimating Normal Means with a Dirichlet Process Prior
• Estimating normal means with a conjugate style dirichlet process prior
• Implementing random scan Gibbs samplers
• Marginal Likelihood from the Gibbs Output
• Markov chains for exploring posterior distributions. (With discussion)
• Mixture models, latent variables and partitioned importance sampling
• Reparameterisation issues in mixture modelling and their bearing on MCMC algorithms.
• Sampling-Based Approaches to Calculating Marginal Densities
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images

Cited in

(16)

• Adaptive Gibbs samplers and related MCMC methods
• Geometric ergodicity of random scan Gibbs samplers for hierarchical one-way random effects models
• On random- and systematic-scan samplers
• Analysis of two-component Gibbs samplers using the theory of two projections
• Comment: On random scan Gibbs samplers
• Implementing random scan Gibbs samplers
• A note on Markov chain Monte Carlo sweep strategies
• Simulating large Gaussian random vectors subject to inequality constraints by Gibbs sampling
• The generalized Gibbs sampler and the neigborhood sampler
• Optimal direction Gibbs sampler for truncated multivariate normal distributions
• Gibbs ensembles for nearly compatible and incompatible conditional models
• A Fresh Look at the Running Time Analysis for the Gibbs Sampler
• Behaviour of the Gibbs sampler when conditional distributions are potentially incompatible
• Geometric ergodicity and scanning strategies for two-component Gibbs samplers
• Implementing componentwise Hastings algorithms
• The Gibbs cloner for combinatorial optimization, counting and sampling

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