On the Geometrical Convergence of Gibbs Sampler inRd

Chii-Ruey Hwang and Shuenn-Jyi Sheu

Journal of Multivariate Analysis, 1998, vol. 66, issue 1, 22-37

Abstract: The geometrical convergence of the Gibbs sampler for simulating a probability distribution inRdis proved. The distribution has a density which is a bounded perturbation of a log-concave function and satisfies some growth conditions. The analysis is based on a representation of the Gibbs sampler and some powerful results from the theory of Harris recurrent Markov chains.

Keywords: Stochastic relaxation; Gibbs sampler; Markov chain; geometrical convergence; Harris recurrence; Monte Carlo Markov chain; Metropolis algorithm; nonlinear autoregression (search for similar items in EconPapers)
Date: 1998
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