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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 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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