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Convergence of slice sampler Markov chains.

Roberts, G. O. and Rosenthal, J. S. (1999) Convergence of slice sampler Markov chains. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 61 (3). pp. 643-660. ISSN 1467-9868

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Abstract

We analyse theoretical properties of the slice sampler. We find that the algorithm has extremely robust geometric ergodicity properties. For the case of just one auxiliary variable, we demonstrate that the algorithm is stochastically monotone, and we deduce analytic bounds on the total variation distance from stationarity of the method by using Foster–Lyapunov drift condition methodology.

Item Type: Article
Journal or Publication Title: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
Uncontrolled Keywords: Auxiliary variables • Foster–Lyapunov drift condition • Markov chain Monte Carlo methods • Slice sampler
Subjects: Q Science > QA Mathematics
Departments: Faculty of Science and Technology > Lancaster Environment Centre
ID Code: 19427
Deposited By: ep_ss_importer
Deposited On: 18 Nov 2008 15:11
Refereed?: Yes
Published?: Published
Last Modified: 06 Sep 2013 18:05
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/19427

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