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

Abstract

Motivated by de Finetti's representation theorem for partially 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). We are particularly interested in the case of an almost exchangeable array (AA 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 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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