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Generalized Gibbs sampler and multigrid Monte Carlo for Bayesian computation. (English) Zbl 0960.65015

The authors present a generalised version of the Gibbs sampler that is based on conditional moves along the traces of groups of transformations in the sample space and discuss its use in designing efficient Markov chain Monte Carlo algorithms. The connection with the multigrid Monte Carlo method is explored. The method is applied to several Bayesian inference problems.

MSC:

65C60 Computational problems in statistics (MSC2010)
65C05 Monte Carlo methods
62F15 Bayesian inference
65C40 Numerical analysis or methods applied to Markov chains
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