Abstract
Conditional simulation is useful in connection with inference and prediction for a generalized linear mixed model. We consider random walk Metropolis and Langevin-Hastings algorithms for simulating the random effects given the observed data, when the joint distribution of the unobserved random effects is multivariate Gaussian. In particular we study the desirable property of geometric ergodicity, which ensures the validity of central limit theorems for Monte Carlo estimates.
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Christensen, O.F., Møller, J. & Waagepetersen, R.P. Geometric Ergodicity of Metropolis-Hastings Algorithms for Conditional Simulation in Generalized Linear Mixed Models. Methodology and Computing in Applied Probability 3, 309–327 (2001). https://doi.org/10.1023/A:1013779208892
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DOI: https://doi.org/10.1023/A:1013779208892