Gibbs Sampling, Exponential Families and Coupling
نویسندگان
چکیده
We give examples of a quantitative analysis of the bivariate Gibbs sampler using coupling arguments. The examples involve standard statistical models – exponential families with conjugate priors or location families with natural priors. Our main approach uses a single eigenfunction (always explicitly available in the examples in question) and stochastic monotonicity.
منابع مشابه
Gibbs Sampling, Conjugate Priors and Coupling
We give a large family of simple examples where a sharp analysis of the Gibbs sampler can be proved by coupling. These examples involve standard statistical models – exponential families with conjugate priors or location families with natural priors. Many of them seem difficult to succesfully analyze using spectral or Harris recurrence techniques.
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