Journal article
Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
- Abstract:
-
In this paper we obtain a closed form expression for the convergence rate of the Gibbs sampler applied to the unobserved states of a first-order autoregression plus noise model. The rate is expressed in terms of the parameters of the model, which are regarded as fixed. For the case where the unconditional mean of the states is a parameter of interest we provide evidence that a 'centred' parameterization of a state space model is preferable for the performance of the Gibbs sampler. These two r...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Publisher copy:
- 10.1111/1467-9892.00126
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Authors
Funding
Economic and Social Research Council
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Bibliographic Details
- Publisher:
- Blackwell Publishering Ltd. Publisher's website
- Journal:
- Journal of time series analysis Journal website
- Volume:
- 20
- Issue:
- 1
- Pages:
- 63-85
- Publication date:
- 1999-01-01
- DOI:
- EISSN:
-
1467-9892
- ISSN:
-
0143-9782
Item Description
- Language:
- English
- Keywords:
- Subjects:
- UUID:
-
uuid:678c12e7-91c7-47da-8024-26b6f0661504
- Local pid:
- ora:2261
- Deposit date:
- 2008-08-12
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Terms of use
- Copyright holder:
- Blackwell Publishing Ltd
- Copyright date:
- 1999
- Notes:
- The full-text of this article is not currently available in ORA. Citation: Pitt, M. K. & Shephard, N. (1999). 'Analytic convergence rates and parameterization issues for the Gibbs sampler applied to state space models', Journal of Time Series Analysis, 20(1), 63-85. [Available at http://www3.interscience.wiley.com/journal/119088660/issue].
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