Journal article
Efficiency and Convergence Properties of Slice Samplers
Scandinavian journal of statistics, Vol.29(1), pp.1-12
03/2002
DOI: 10.1111/1467-9469.00267
Abstract
The slice sampler (SS) is a method of constructing a reversible Markov chain with a specified invariant distribution. Given an independence Metropolis-Hastings algorithm (IMHA) it is always possible to construct a SS that dominates it in the Peskun sense. This means that the resulting SS produces estimates with a smaller asymptotic variance than the IMHA. Furthermore the SS has a smaller second-largest eigenvalue. This ensures faster convergence to the target distribution. A sufficient condition for uniform ergodicity of the SS is given and an upper bound for the rate of convergence to stationarity is provided. © 2017 Wiley. All rights reserved.
Details
- Title: Subtitle
- Efficiency and Convergence Properties of Slice Samplers
- Creators
- ANTONIETTA Mira - Università dell'Insubria,LUKE Tierney - University of Minnesota
- Resource Type
- Journal article
- Publication Details
- Scandinavian journal of statistics, Vol.29(1), pp.1-12
- Publisher
- Blackwell Publishers Ltd
- DOI
- 10.1111/1467-9469.00267
- ISSN
- 0303-6898
- eISSN
- 1467-9469
- Number of pages
- 12
- Comment
- in final form February 2001
- Language
- English
- Date published
- 03/2002
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257633802771
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