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On the convergence rate of the “out-of-order” block Gibbs sampler

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  • Jin, Zhumengmeng
  • Hobert, James P.

Abstract

A seemingly harmless reordering of the steps in a block Gibbs sampler can actually lead to a change in the invariant distribution. It is shown that, despite the altered invariant distribution, the “out-of-order” block Gibbs sampler converges at the same rate as the original block Gibbs Markov chain.

Suggested Citation

  • Jin, Zhumengmeng & Hobert, James P., 2022. "On the convergence rate of the “out-of-order” block Gibbs sampler," Statistics & Probability Letters, Elsevier, vol. 188(C).
  • Handle: RePEc:eee:stapro:v:188:y:2022:i:c:s0167715222001043
    DOI: 10.1016/j.spl.2022.109538
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    References listed on IDEAS

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    1. Gareth O. Roberts & Jeffrey S. Rosenthal, 2001. "Markov Chains and De‐initializing Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(3), pages 489-504, September.
    2. G. O. Roberts & S. K. Sahu, 1997. "Updating Schemes, Correlation Structure, Blocking and Parameterization for the Gibbs Sampler," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 59(2), pages 291-317.
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