Convergence of Slice Sampler Markov Chains

Gareth O. Roberts and Jeffrey S. Rosenthal

Journal of the Royal Statistical Society Series B, 1999, vol. 61, issue 3, 643-660

Abstract: We analyse theoretical properties of the slice sampler. We find that the algorithm has extremely robust geometric ergodicity properties. For the case of just one auxiliary variable, we demonstrate that the algorithm is stochastically monotone, and we deduce analytic bounds on the total variation distance from stationarity of the method by using Foster–Lyapunov drift condition methodology.

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://doi.org/10.1111/1467-9868.00198

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssb:v:61:y:1999:i:3:p:643-660

Ordering information: This journal article can be ordered from
http://ordering.onli ... 1111/(ISSN)1467-9868

Access Statistics for this article

Journal of the Royal Statistical Society Series B is currently edited by P. Fryzlewicz and I. Van Keilegom

More articles in Journal of the Royal Statistical Society Series B from Royal Statistical Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().