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Explaining the Gibbs Sampler
George Casella and Edward I. George
The American Statistician
Vol. 46, No. 3 (Aug., 1992), pp. 167-174
Stable URL: http://www.jstor.org/stable/2685208
Page Count: 8
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Computer-intensive algorithms, such as the Gibbs sampler, have become increasingly popular statistical tools, both in applied and theoretical work. The properties of such algorithms, however, may sometimes not be obvious. Here we give a simple explanation of how and why the Gibbs sampler works. We analytically establish its properties in a simple case and provide insight for more complicated cases. There are also a number of examples.
The American Statistician © 1992 American Statistical Association