English

Rates of convergence for Gibbs sampling in the analysis of almost exchangeable data

Probability 2020-12-22 v2 Statistics Theory Statistics Theory

Abstract

Motivated by de Finetti's representation theorem for almost exchangeable arrays, we want to sample p[0,1]d\mathbf p \in [0,1]^d from a distribution with density proportional to exp(A2i<jcij(pipj)2)\exp(-A^2\sum_{i<j}c_{ij}(p_i-p_j)^2), where AA is large and cijc_{ij}'s are non-negative weights. We analyze the rate of convergence of a coordinate Gibbs sampler used to simulate from these measures. We show that for every non-zero fixed matrix C=(cij)C=(c_{ij}), and large enough AA, mixing happens in Θ(A2)\Theta(A^2) steps in a suitable Wasserstein distance. The upper and lower bounds are explicit and depend on the matrix CC through few relevant spectral parameters.

Keywords

Cite

@article{arxiv.2010.15539,
  title  = {Rates of convergence for Gibbs sampling in the analysis of almost exchangeable data},
  author = {Balázs Gerencsér and Andrea Ottolini},
  journal= {arXiv preprint arXiv:2010.15539},
  year   = {2020}
}