کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1145883 1489683 2013 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Analysis of MCMC algorithms for Bayesian linear regression with Laplace errors
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Analysis of MCMC algorithms for Bayesian linear regression with Laplace errors
چکیده انگلیسی

Let ππ denote the intractable posterior density that results when the standard default prior is placed on the parameters in a linear regression model with iid Laplace errors. We analyze the Markov chains underlying two different Markov chain Monte Carlo algorithms for exploring ππ. In particular, it is shown that the Markov operators associated with the data augmentation (DA) algorithm and a sandwich variant are both trace-class. Consequently, both Markov chains are geometrically ergodic. It is also established that for each i∈{1,2,3,…}i∈{1,2,3,…}, the iith largest eigenvalue of the sandwich operator is less than or equal to the corresponding eigenvalue of the DA operator. It follows that the sandwich algorithm converges at least as fast as the DA algorithm.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 117, May 2013, Pages 32–40
نویسندگان
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