Spectral properties of MCMC algorithms for Bayesian linear regression with generalized hyperbolic errors

We study MCMC algorithms for Bayesian analysis of a linear regression model with generalized hyperbolic errors. The Markov operators associated with the standard data augmentation algorithm and a sandwich variant of that algorithm are shown to be trace-class.

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Year of publication:	2014
Authors:	Jung, Yeun Ji ; Hobert, James P.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 95.2014, C, p. 92-100
Publisher:	Elsevier
Subject:	Bessel function \| Data augmentation algorithm \| Geometric convergence rate \| Markov operator \| Sandwich algorithm \| Trace-class operator

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010939472