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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
DOI: 10.2307/2685208
Stable URL: http://www.jstor.org/stable/2685208
Page Count: 8
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Explaining the Gibbs Sampler
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Abstract

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.

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