Gibbs Sampling for Bayesian Non-Conjugate and Hierarchical Models by Using Auxiliary Variables
利用辅助变量对贝叶斯非共轭与层级模型进行 Gibbs 抽样
Summary We demonstrate the use of auxiliary (or latent) variables for sampling non-standard densities which arise in the context of the Bayesian analysis of non-conjugate and hierarchical models by using a Gibbs sampler. Their strategic use can result in a Gibbs sampler having easily sampled full conditionals. We propose such a procedure to simplify or speed up the Markov chain Monte Carlo algorithm. The strength of this approach lies in its generality and its ease of…