Accelerated Gibbs sampling of normal distributions using matrix splittings and polynomials
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چکیده
منابع مشابه
Accelerated Gibbs sampling of normal distributions using matrix splittings and polynomials
Standard Gibbs sampling applied to a multivariate normal distribution with a specified precision matrix is equivalent in fundamental ways to the Gauss–Seidel iterative solution of linear equations in the precision matrix. Specifically, the iteration operators, the conditions under which convergence occurs, and geometric convergence factors (and rates) are identical. These results hold for arbit...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2017
ISSN: 1350-7265
DOI: 10.3150/16-bej863