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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 an AR(1) plus noise model in terms of the parameters of the model. We also provide evidence that a "centered" parameterisation of a state space model is preferable for the performance of the Gibbs sampler. These two results provide guidance when the Gaussianity or linearity of the state space form is lost. We illustrate this by examining the performance of a Markov Chain Monte Carlo sampler for the Stochastic Volatility model.

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Authors


Michael K Pitt More by this author
Neil Shephard More by this author
Volume:
20
Series:
Economics Working Papers
Publication date:
1996
URN:
uuid:e1d2025f-e5ed-4aa9-aa59-03e9ad4d5482
Local pid:
oai:economics.ouls.ox.ac.uk:11958
Language:
English

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