Random variate transformations in the Gibbs sampler: issues of efficiency and convergence |
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Authors: | Petros Dellaportas |
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Affiliation: | (1) Department of Statistics, Athens University of Economics, 76 Patission Street, 10434 Athens, Greece |
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Abstract: | In the non-conjugate Gibbs sampler, the required sampling from the full conditional densities needs the adoption of black-box sampling methods. Recent suggestions include rejection sampling, adaptive rejection sampling, generalized ratio of uniforms, and the Griddy-Gibbs sampler. This paper describes a general idea based on variate transformations which can be tailored in all the above methods and increase the Gibbs sampler efficiency. Moreover, a simple technique to assess convergence is suggested and illustrative examples are presented. |
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Keywords: | Gibbs sampler adaptive rejection sampling economical method Griddy-Gibbs sampler |
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