An Iterative Monte Carlo Method for Nonconjugate Bayesian Analysis
STANFORD UNIV CA DEPT OF STATISTICS
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The Gibbs sampler has been proposed as a general method for Bayesian calculation in Gelfand and Smith 1990. However experience to date is almost exclusively in applications assuming conjugacy where implementation is reasonably straightforward. This paper describes a tailored rejection method approach for implementation of the Gibbs sampler when nonconjugate structure is present. Several challenging applications are presented for illustration.
- Statistics and Probability