On Monte Carlo methods for Bayesian multivariate regression models with heavy-tailed errors
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data augmentation algorithmdrift conditiongeometric ergodicityMarkov chainminorization conditionrobust multivariate regression
Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)
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Cites work
- A theoretical comparison of the data augmentation, marginal augmentation and PX-DA algorithms
- Bayesian Robust Multivariate Linear Regression With Incomplete Data
- Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
- Fixed-Width Output Analysis for Markov Chain Monte Carlo
- Geometric ergodicity and hybrid Markov chains
- Geometric Ergodicity of van Dyk and Meng's Algorithm for the Multivariate Student'stModel
- Honest exploration of intractable probability distributions via Markov chain Monte Carlo.
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- Markov chain Monte Carlo: can we trust the third significant figure?
- Markov chains and stochastic stability
- Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo
- Multivariate Student-t regression models: Pitfalls and inference
- Norm comparisons for data augmentation
- Parameter Expansion for Data Augmentation
- Parameter expansion to accelerate EM: the PX-EM algorithm
- Portfolio Analysis in a Stable Paretian Market
- Seeking efficient data augmentation schemes via conditional and marginal augmentation
- Sufficient burn-in for Gibbs samplers for a hierarchical random effects model.
Cited in
(16)- Geometric ergodicity of Pólya-Gamma Gibbs sampler for Bayesian logistic regression with a flat prior
- Trace-class Monte Carlo Markov chains for Bayesian multivariate linear regression with non-Gaussian errors
- Convergence rates for MCMC algorithms for a robust Bayesian binary regression model
- Convergence complexity analysis of Albert and Chib's algorithm for Bayesian probit regression
- Nonasymptotic bounds on the estimation error of MCMC algorithms
- Robust modeling using non-elliptically contoured multivariate t distributions
- Analysis of MCMC algorithms for Bayesian linear regression with Laplace errors
- scientific article; zbMATH DE number 1182746 (Why is no real title available?)
- Spectral properties of MCMC algorithms for Bayesian linear regression with generalized hyperbolic errors
- Convergence analysis of MCMC algorithms for Bayesian multivariate linear regression with non-Gaussian errors
- Nonasymptotic bounds on the mean square error for MCMC estimates via renewal techniques
- Rigorous confidence bounds for MCMC under a geometric drift condition
- A non-iteration Bayesian sampling algorithm for robust seemingly unrelated regression \(\text{models}^*\)
- Analyzing Markov chain Monte Carlo output
- Efficiency of Markov chains for Bayesian linear regression models with heavy-tailed errors
- Exact Gibbs sampling for Bayesian GLMs using link functions of a novel form
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