Surprising Convergence Properties of Some Simple Gibbs Samplers under Various Scans

Gareth O. Roberts, Jeffrey S. Rosenthal

Abstract


We examine the convergence properties of some simple Gibbs sampler examples under various scans. We find some surprising results, including Gibbs samplers where deterministic-scan is much more efficient than random-scan, and other samplers where the opposite is true.  We also present an example where the convergence takes precisely the same time with any fixed deterministic scan, but modifying the scan in any way leads to significantly slower convergence.

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DOI: http://dx.doi.org/10.5539/ijsp.v5n1p51

International Journal of Statistics and Probability   ISSN 1927-7032(Print)   ISSN 1927-7040(Online)

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