Optimizing random scan Gibbs samplers

DOI10.1016/j.jmva.2006.05.008zbMath1101.62087OpenAlexW2047040233MaRDI QIDQ853941

George Casella, Richard A. Levine

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

decision theoryMarkov chain Monte Carlominimax riskadaptive sweep strategiesdeterministic scan Gibbs sampler

Mathematics Subject Classification ID

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

Related Items

Comment: On random scan Gibbs samplers, Gibbs ensembles for nearly compatible and incompatible conditional models, Adaptive Gibbs samplers and related MCMC methods, Geometric ergodicity of random scan Gibbs samplers for hierarchical one-way random effects models, Implementing componentwise Hastings algorithms, Implementing random scan Gibbs samplers, Geometric Ergodicity and Scanning Strategies for Two-Component Gibbs Samplers, Simulating large Gaussian random vectors subject to inequality constraints by Gibbs sampling, Behaviour of the Gibbs sampler when conditional distributions are potentially incompatible

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