Estimating drift and minorization coefficients for Gibbs sampling algorithms

Spade David A. ()
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Spade David A.: Department of Mathematical Sciences, University of Wisconsin–Milwaukee, 3200 N. Cramer Street Milwaukee, Wisconsin 53211, USA

Monte Carlo Methods and Applications, 2021, vol. 27, issue 3, 195-209

Abstract: Gibbs samplers are common Markov chain Monte Carlo (MCMC) algorithms that are used to sample from intractable probability distributions when sampling directly from full conditional distributions is possible. These types of MCMC algorithms come up frequently in many applications, and because of their popularity it is important to have a sense of how long it takes for the Gibbs sampler to become close to its stationary distribution. To this end, it is common to rely on the values of drift and minorization coefficients to bound the mixing time of the Gibbs sampler. This manuscript provides a computational method for estimating these coefficients. Herein, we detail the several advantages of the proposed methods, as well as the limitations of this approach. These limitations are primarily related to the “curse of dimensionality”, which for these methods is caused by necessary increases in the numbers of initial states from which chains need be run and the need for an exponentially increasing number of grid points for estimation of minorization coefficients.

Keywords: Gibbs sampling; geometric ergodicity; Lyapunov conditions; Bayesian statistical inference (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1515/mcma-2021-2093

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