Accelerated Gibbs sampling of normal distributions using matrix splittings and polynomials

DOI10.3150/16-BEJ863zbMath1457.62085arXiv1505.03512MaRDI QIDQ2405171

Albert E. Parker, Colin D. Fox

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.03512

zbMATH Keywords

matrix splittingBayesian inferenceGibbs samplingmultivariate normal distributionGaussian Markov random fieldpolynomial accelerationnon-stationary stochastic iteration

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Bayesian inference (62F15)

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