Efficiency and convergence properties of slice samplers

被引：39

作者：

Mira, A

Tierney, L

机构：

[1] Univ Insubria, Fac Econ, I-21100 Varese, Italy

[2] Univ Minnesota, Minneapolis, MN 55455 USA

来源：

SCANDINAVIAN JOURNAL OF STATISTICS | 2002年 / 29卷 / 01期

关键词：

auxiliary variables; efficiency of MCMC; geometric ergodicity; Markov chain Monte Carlo; Metropolis-Hastings algorithm; Peskun ordering; uniform ergodicity;

D O I：

10.1111/1467-9469.00267

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The slice sampler (SS) is a method of constructing a reversible Markov chain with a specified invariant distribution. Given an independence Metropolis-Hastings algorithm (IMHA) it is always possible to construct a SS that dominates it in the Peskun sense. This means that the resulting SS produces estimates with a smaller asymptotic variance than the IMHA. Furthermore the SS has a smaller second-largest eigenvalue. This ensures faster convergence to the target distribution. A sufficient condition for uniform ergodicity of them SS is given and an: upper bound for the rate of convergence to stationarity is provided.

引用

页码：1 / 12

页数：12

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