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Publication - Professor Christophe Andrieu

    On random- and systematic-scan samplers

    Citation

    Andrieu, C, 2016, ‘On random- and systematic-scan samplers’. Biometrika, vol 103., pp. 719-726

    Abstract

    We introduce a simple time-homogeneous Markov embedding of a class of time-inhomogeneous Markov chains widely used in the context of Monte Carlo sampling algorithms, such as systematic-scan Metropolis-within-Gibbs samplers. This allows us to establish that systematic-scan samplers involving two factors are always better than their random-scan counterparts, when asymptotic variance is the criterion of interest. We also show that this embedding sheds some light on the result of Maire et al. (2014) and discuss the scenario involving more than two factors.

    Full details in the University publications repository