How Many Iterations in the Gibbs Sampler ?

@inproceedings{RafteryUniversity1992HowMI,
  title={How Many Iterations in the Gibbs Sampler ?},
  author={Adrian E. RafteryUniversity},
  year={1992}
}
  • Adrian E. RafteryUniversity
  • Published 1992
When the Gibbs sampler is used to estimate posterior distributions (Gelfand and Smith, 1990), the question of how many iterations are required is central to its implementation. When interest focuses on quantiles of functionals of the posterior distribution , we describe an easily-implemented method for determining the total number of iterations required, and also the number of initial iterations that should be discarded to allow for \burn-in". The method uses only the Gibbs iterates themselves… CONTINUE READING
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