Trivial intersection of $\sigma$-fields and Gibbs sampling
Abstract
Let be a probability space and the class of those satisfying . For each , define . Necessary and sufficient conditions for , where are sub--fields, are given. These conditions are then applied to the (two-component) Gibbs sampler. Suppose and are the coordinate projections on where and are measurable spaces. Let be the Gibbs chain for . Then, the SLLN holds for if and only if , or equivalently if and only if whenever , and . The latter condition is also equivalent to ergodicity of , on a certain subset , in case is countably generated and absolutely continuous with respect to a product measure.
Keywords
Cite
@article{arxiv.0901.2851,
title = {Trivial intersection of $\sigma$-fields and Gibbs sampling},
author = {Patrizia Berti and Luca Pratelli and Pietro Rigo},
journal= {arXiv preprint arXiv:0901.2851},
year = {2009}
}
Comments
Published in at http://dx.doi.org/10.1214/07-AOP387 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)