Work

Gibbs Sampling, Exponential Families and Orthogonal Polynomials

Year: 2008

Type: article

Abstract: 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.

Source: Statistical Science

DOI: 10.1214/07-sts252

Authors: Persi Diaconis, Kshitij Khare, Laurent Saloff-Coste

Language: English

Topic: Markov Chains and Monte Carlo Methods

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: bronze

Funder: National Science Foundation

Awards: Markov Processes in Geometric Environments, Analysis and Geometry of Markov Chains Diffusion Processes

OpenAlex ID: W319297166