Facilitating the Gibbs Sampler: The Gibbs Stopper and the Griddy-Gibbs Sampler
改进 Gibbs 抽样：Gibbs Stopper 与 Griddy-Gibbs 方法
The article briefly reviews the history, literature, and form of the Gibbs sampler. An importance sampling device is proposed for converting the output of the Gibbs sampler to a sample from the exact posterior. This Gibbs stopper technique is also useful for assessing convergence of the Gibbs sampler for moderate sized problems. Also presented is an approach for implementing the Gibbs sampler in nonconjugate situations. The basic idea is to approximate the true cdf of each…