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Journal of the American Statistical Association Volume 90, 1995 - Issue 431
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Theory and Method

Gibbs Sampler Convergence Criteria

Arnold Zellner Graduate School of Business, University of Chicago, Chicago, IL, 60637
&
Chung-Ki Min School of Business Administration, George Mason University, Fairfax, VA, 22030
Pages 921-927 | Received 01 Sep 1992, Published online: 27 Feb 2012
 
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Abstract

This article presents new operational convergence criteria for the Gibbs sampler (GS) and related procedures that are useful for determining whether they not only have converged but also have converged to provide reliable results. Three GS convergence criteria are presented and applied: the difference convergence criterion (DC2), the ratio convergence criterion (RC2), and the anchored ratio convergence criterion (ARC2). Their uses and properties are discussed and examples are analyzed to illustrate their application.

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