Spectral properties of MCMC algorithms for Bayesian linear regression with generalized hyperbolic errors

Article ID	Journal	Published Year	Pages	File Type
1151674	Statistics & Probability Letters	2014	9 Pages	PDF

Abstract

We study MCMC algorithms for Bayesian analysis of a linear regression model with generalized hyperbolic errors. The Markov operators associated with the standard data augmentation algorithm and a sandwich variant of that algorithm are shown to be trace-class.

Keywords

Data augmentation algorithm Trace-class operator Markov operator Bessel function

Related Topics

Physical Sciences and Engineering Mathematics Statistics and Probability

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Spectral properties of MCMC algorithms for Bayesian linear regression with generalized hyperbolic errors

Authors

Yeun Ji Jung, James P. Hobert,