Analysis of MCMC algorithms for Bayesian linear regression with Laplace errors

Hee Min Choi and James P. Hobert

Journal of Multivariate Analysis, 2013, vol. 117, issue C, 32-40

Abstract: Let π denote the intractable posterior density that results when the standard default prior is placed on the parameters in a linear regression model with iid Laplace errors. We analyze the Markov chains underlying two different Markov chain Monte Carlo algorithms for exploring π. In particular, it is shown that the Markov operators associated with the data augmentation (DA) algorithm and a sandwich variant are both trace-class. Consequently, both Markov chains are geometrically ergodic. It is also established that for each i∈{1,2,3,…}, the ith largest eigenvalue of the sandwich operator is less than or equal to the corresponding eigenvalue of the DA operator. It follows that the sandwich algorithm converges at least as fast as the DA algorithm.

Keywords: Asymmetric Laplace distribution; Data augmentation algorithm; Eigenvalues; Geometric convergence rate; Markov chain; Markov operator; Monte Carlo; Sandwich algorithm; Trace-class operator (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.jmva.2013.02.004

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