Statistics and Computing

, Volume 5, Issue 2, pp 133–140 | Cite as

Random variate transformations in the Gibbs sampler: issues of efficiency and convergence

  • Petros Dellaportas


In the non-conjugate Gibbs sampler, the required sampling from the full conditional densities needs the adoption of black-box sampling methods. Recent suggestions include rejection sampling, adaptive rejection sampling, generalized ratio of uniforms, and the Griddy-Gibbs sampler. This paper describes a general idea based on variate transformations which can be tailored in all the above methods and increase the Gibbs sampler efficiency. Moreover, a simple technique to assess convergence is suggested and illustrative examples are presented.


Gibbs sampler adaptive rejection sampling economical method Griddy-Gibbs sampler 


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Copyright information

© Chapman & Hall 1995

Authors and Affiliations

  • Petros Dellaportas
    • 1
  1. 1.Department of StatisticsAthens University of EconomicsAthensGreece

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