Advanced Statistical ComputingFall 2012Lecture 4.pptVIP

Advanced Statistical ComputingFall 2012Lecture 4 Steve Qin Collapsing and grouping Want to sample from Regular Gibbs sampler: Sample x1(t+1) from Sample x2(t+1) from … Sample xd(t+1) from Alternatively: Grouping: Collapsing, i.e., integrate out xd: * The three-schemes * standard grouping collapsing Some theory Hilbert space L2(π) of functions h(). Define thus Define forward operator F as The convergence of Markov chains is tied to the norms of the corresponding forward operators. * Three-scheme theorem Standard Fs: Grouping Fg: Collapsing Fc: The