Spectral properties of MCMC algorithms for Bayesian linear regression with generalized hyperbolic errors

Yeun Ji Jung and James P. Hobert

Statistics & Probability Letters, 2014, vol. 95, issue C, 92-100

Abstract: We study MCMC algorithms for Bayesian analysis of a linear regression model with generalized hyperbolic errors. The Markov operators associated with the standard data augmentation algorithm and a sandwich variant of that algorithm are shown to be trace-class.

Keywords: Bessel function; Data augmentation algorithm; Geometric convergence rate; Markov operator; Sandwich algorithm; Trace-class operator (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2014.07.034

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