Gibbs Sampling, Exponential Families and Orthogonal Polynomials
نویسندگان
چکیده
We give families of examples where sharp rates of convergence to stationarity of the widely used Gibbs sampler are available. The examples involve standard exponential families and their conjugate priors. In each case, the transition operator is explicitly diagonalizable with classical orthogonal polynomials as eigenfunctions.
منابع مشابه
Comment: Gibbs Sampling, Exponential Families and Orthogonal Polynomials
Patrizia Berti is Professor, Dipartimento di Matematica Pura ed Applicata “G. Vitali”, Universita’ di Modena e Reggio-Emilia, via Campi 213/B, 41100 Modena, Italy e-mail: [email protected]. Guido Consonni is Professor, Dipartimento di Economia Politica e Metodi Quantitativi, Universita’ di Pavia, via S. Felice 5, 27100 Pavia, Italy e-mail: [email protected]. Luca Pratelli is Profe...
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