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 partially exchangeable arrays, we want to sample from a distribution with density proportional to . We are particularly interested in the case of an almost exchangeable array ( large). We analyze the rate of convergence of a coordinate Gibbs sampler used to simulate from these measures. We show that for every fixed matrix , and large enough , mixing happens in steps in a suitable Wasserstein distance. The upper and lower bounds are explicit and depend on the matrix through few relevant spectral parameters.
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