Subsampling the Gibbs sampler: variance reduction

Subsampling the output of a Gibbs sampler in a non-systematic fashion can improve the efficiency of marginal estimators if the subsampling strategy is tied to the actual updates made. We illustrate this point by example, approximation, and asymptotics. The results hold both for random-scan and fixed-scan Gibbs samplers.

MoreLess

Year of publication:	2000
Authors:	MacEachern, Steven N. ; Peruggia, Mario
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 47.2000, 1, p. 91-98
Publisher:	Elsevier
Keywords:	Bayesian analysis Efficiency Estimation Markov chains Monte Carlo Stationary time series

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

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

Persistent link: https://www.econbiz.de/10005074752