Abstract
We give families of examples where sharp rates of convergence to stationarity of the widely used Gibbs sampler are available. The examples involve standard exponential families and their conjugate priors. In each case, the transition operator is explicitly diagonalizable with classical orthogonal polynomials as eigenfunctions.
Citation
Persi Diaconis. Kshitij Khare. Laurent Saloff-Coste. "Gibbs Sampling, Exponential Families and Orthogonal Polynomials." Statist. Sci. 23 (2) 151 - 178, May 2008. https://doi.org/10.1214/07-STS252
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