(This article by xi'an was originally published at Xi'an's Og » Statistics.)
An interesting paper appeared on arXiv today. Entitled On optimal direction gibbs sampling, by Andrés Christen, Colin Fox, Diego Andrés Pérez-Ruiz and Mario Santana-Cibrian, it defines optimality as picking the direction that brings the maximum independence between two successive realisations in the Gibbs sampler. More precisely, it aims at choosing the direction e that minimises [...]
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Tags: adaptive MCMC methods, directional Gibbs, Gibbs sampling, Kullback, Lebesgue measure, measure theory, muutal information, statistics, University life
