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An iterative Monte Carlo method for nonconjugate Bayesian analysis |
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| Authors: | Bradley P. Carlin Alan E. Gelfand |
| Affiliation: | (1) Division of Biostatistics, School of Public Health, University of Minnesota, 55455 Minneapolis, MN, USA;(2) Department of Statistics, University of Connecticut, 06268 Storrs, CT, USA |
| Abstract: | The Gibbs sampler has been proposed as a general method for Bayesian calculation in Gelfand and Smith (1990). However, the predominance of experience to date resides in applications assuming conjugacy where implementation is reasonably straightforward. This paper describes a tailored approximate rejection method approach for implementation of the Gibbs sampler when nonconjugate structure is present. Several challenging applications are presented for illustration. |
| Keywords: | Bayesian inference Gibbs sampler hierarchical models logistic regression nonlinear models rejection method |
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