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 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...
Prif Awduron: | Pitt, M, Shephard, N |
---|---|
Fformat: | Working paper |
Iaith: | English |
Cyhoeddwyd: |
Nuffield College (University of Oxford)
1996
|
Eitemau Tebyg
-
Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
gan: Pitt, M, et al.
Cyhoeddwyd: (1999) -
Antithetic Methods for Gibbs Samplers
gan: Holmes, C, et al.
Cyhoeddwyd: (2009) -
Gibbs sampler for statistical multiple alignment
gan: Jensen, J, et al.
Cyhoeddwyd: (2005) -
Programmable Quantum Annealers as Noisy Gibbs Samplers
gan: Marc Vuffray, et al.
Cyhoeddwyd: (2022-04-01) -
A Gibbs Sampler for Phrasal Synchronous Grammar Induction
gan: Blunsom, P, et al.
Cyhoeddwyd: (2009)