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Register a new userConvergence Analysis of a Collapsed Gibbs Sampler for Bayesian Vector Autoregressions
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Added by
Karl Oskar Ekvall
Publication date
2019
fields
Mathematical Statistics
and research's language is
English
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We study the convergence properties of a collapsed Gibbs sampler for Bayesian vector autoregressions with predictors, or exogenous variables. The Markov chain generated by our algorithm is shown to be geometrically ergodic regardless of whether the number of observations in the underlying vector autoregression is small or large in comparison to the order and dimension of it. In a convergence complexity analysis, we also give conditions for when the geometric ergodicity is asymptotically stable as the number of observations tends to infinity. Specifically, the geometric convergence rate is shown to be bounded away from unity asymptotically, either almost surely or with probability tending to one, depending on what is assumed about the data generating process. This result is one of the first of its kind for practically relevant Markov chain Monte Carlo algorithms. Our convergence results hold under close to arbitrary model misspecification.
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The logistic regression model is the most popular model for analyzing binary data. In the absence of any prior information, an improper flat prior is often used for the regression coefficients in Bayesian logistic regression models. The resulting intractable posterior density can be explored by running Polson et al.s (2013) data augmentation (DA) algorithm. In this paper, we establish that the Markov chain underlying Polson et al.s (2013) DA algorithm is geometrically ergodic. Proving this theoretical result is practically important as it ensures the existence of central limit theorems (CLTs) for sample averages under a finite second moment condition. The CLT in turn allows users of the DA algorithm to calculate standard errors for posterior estimates.
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