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 from a distribution with density proportional to , where is large and '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 , and large enough , mixing happens in steps in a suitable Wasserstein distance. The upper and lower bounds are explicit and depend on the matrix 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}
}