✦ LIBER ✦
Random variate transformations in the Gibbs sampler: issues of efficiency and convergence
✍ Scribed by Petros Dellaportas
- Publisher
- Springer US
- Year
- 1995
- Tongue
- English
- Weight
- 692 KB
- Volume
- 5
- Category
- Article
- ISSN
- 0960-3174
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✦ Synopsis
In the non-conjugate Gibbs sampler, the required sampling from the full conditional densities needs the adoption of black-box sampling methods. Recent suggestions include rejection sampling, adaptive rejection sampling, generalized ratio of uniforms, and the Griddy-Gibbs sampler. This paper describes a general idea based on variate transformations which can be tailored in all the above methods and increase the Gibbs sampler efficiency. Moreover, a simple technique to assess convergence is suggested and illustrative examples are presented.