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Convergence of slice sampler Markov chains.

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Convergence of slice sampler Markov chains. / Roberts, G. O.; Rosenthal, J. S.
In: Journal of the Royal Statistical Society: Series B (Statistical Methodology), Vol. 61, No. 3, 1999, p. 643-660.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Roberts, GO & Rosenthal, JS 1999, 'Convergence of slice sampler Markov chains.', Journal of the Royal Statistical Society: Series B (Statistical Methodology), vol. 61, no. 3, pp. 643-660. https://doi.org/10.1111/1467-9868.00198

APA

Roberts, G. O., & Rosenthal, J. S. (1999). Convergence of slice sampler Markov chains. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 61(3), 643-660. https://doi.org/10.1111/1467-9868.00198

Vancouver

Roberts GO, Rosenthal JS. Convergence of slice sampler Markov chains. Journal of the Royal Statistical Society: Series B (Statistical Methodology). 1999;61(3):643-660. doi: 10.1111/1467-9868.00198

Author

Roberts, G. O. ; Rosenthal, J. S. / Convergence of slice sampler Markov chains. In: Journal of the Royal Statistical Society: Series B (Statistical Methodology). 1999 ; Vol. 61, No. 3. pp. 643-660.

Bibtex

@article{3b75cd681d9b4ce79ed2cba9f89a0b09,
title = "Convergence of slice sampler Markov chains.",
abstract = "We analyse theoretical properties of the slice sampler. We find that the algorithm has extremely robust geometric ergodicity properties. For the case of just one auxiliary variable, we demonstrate that the algorithm is stochastically monotone, and we deduce analytic bounds on the total variation distance from stationarity of the method by using Foster–Lyapunov drift condition methodology.",
keywords = "Auxiliary variables • Foster–Lyapunov drift condition • Markov chain Monte Carlo methods • Slice sampler",
author = "Roberts, {G. O.} and Rosenthal, {J. S.}",
year = "1999",
doi = "10.1111/1467-9868.00198",
language = "English",
volume = "61",
pages = "643--660",
journal = "Journal of the Royal Statistical Society: Series B (Statistical Methodology)",
issn = "1467-9868",
publisher = "Wiley-Blackwell",
number = "3",

}

RIS

TY - JOUR

T1 - Convergence of slice sampler Markov chains.

AU - Roberts, G. O.

AU - Rosenthal, J. S.

PY - 1999

Y1 - 1999

N2 - We analyse theoretical properties of the slice sampler. We find that the algorithm has extremely robust geometric ergodicity properties. For the case of just one auxiliary variable, we demonstrate that the algorithm is stochastically monotone, and we deduce analytic bounds on the total variation distance from stationarity of the method by using Foster–Lyapunov drift condition methodology.

AB - We analyse theoretical properties of the slice sampler. We find that the algorithm has extremely robust geometric ergodicity properties. For the case of just one auxiliary variable, we demonstrate that the algorithm is stochastically monotone, and we deduce analytic bounds on the total variation distance from stationarity of the method by using Foster–Lyapunov drift condition methodology.

KW - Auxiliary variables • Foster–Lyapunov drift condition • Markov chain Monte Carlo methods • Slice sampler

U2 - 10.1111/1467-9868.00198

DO - 10.1111/1467-9868.00198

M3 - Journal article

VL - 61

SP - 643

EP - 660

JO - Journal of the Royal Statistical Society: Series B (Statistical Methodology)

JF - Journal of the Royal Statistical Society: Series B (Statistical Methodology)

SN - 1467-9868

IS - 3

ER -