Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models.

Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models.

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In this paper we obtain a closed form expression for the convergence rate of the Gibbs sampler applied to an AR(1) plus noise model in terms of the parameters of the model. We also provide evidence that a "centered" parameterisation of a state space model is preferable for the performance...

Bibliografske podrobnosti
Main Authors:	Pitt, M, Shephard, N
Format:	Working paper
Jezik:	English
Izdano:	Nuffield College (University of Oxford) 1996

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