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On the geometric convergence of the Gibbs sampler. (English) Zbl 0796.62029

Summary: The rate of convergence of the Gibbs sampler is discussed. The Gibbs sampler is a Monte Carlo simulation method with extensive application to computational issues in the Bayesian paradigm. Conditions for the geometric rate of convergence of the algorithm for discrete and continuous parameter spaces are derived, and an illustrative exponential family example is given.

MSC:

62F15 Bayesian inference
65C05 Monte Carlo methods