On the Geometric Convergence of the Gibbs Sampler
Gareth O. Roberts, Nicholas G. Polson · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1994
SUMMARY The rate of convergence of the Gibbs sampler is discussed. The Gibbs sampler is a Monte Carlo simulation method with extensive application to computational issues in the Bayesian paradigm. Conditions for the geometric rate of convergence of the algorithm for discrete and continuous parameter spaces are derived, and an illustrative exponential family example is given.