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.

In this paper, piecewise linear upper and lower bounds for univariate convex functions are derived that are only based on function value information. These upper and lower bounds can be used to approximate univariate convex functions. Furthermore, new Sandwich algo- rithms are proposed, that...