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Rates of convergence for Gibbs sampling in the analysis of almost exchangeable data

Stochastic Processes and their Applications (SPA), 2020
Abstract

Motivated by de Finetti's representation theorem for almost exchangeable arrays, we want to sample p[0,1]d\mathbf p \in [0,1]^d from a distribution with density proportional to exp(A2i<jcij(pipj)2)\exp(-A^2\sum_{i<j}c_{ij}(p_i-p_j)^2), where AA is large and cijc_{ij}'s are non-negative weights. We analyze the rate of convergence of a coordinate Gibbs sampler used to simulate from these measures. We show that for every non-zero fixed matrix C=(cij)C=(c_{ij}), and large enough AA, mixing happens in Θ(A2)\Theta(A^2) steps in a suitable Wasserstein distance. The upper and lower bounds are explicit and depend on the matrix CC through few relevant spectral parameters.

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