Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
In this paper we obtain a closed form expression for the convergence rate of the Gibbs sampler applied to the unobserved states of a first-order autoregression plus noise model. The rate is expressed in terms of the parameters of the model, which are regarded as fixed. For the case where the uncondi...
| প্রধান লেখক: | , |
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| বিন্যাস: | Journal article |
| ভাষা: | English |
| প্রকাশিত: |
Blackwell Publishering Ltd.
1999
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| বিষয়গুলি: |