Gibbs Sampler for Matrix Generalized Inverse Gaussian Distributions
针对矩阵广义逆高斯分布，提出一种基于乔列斯基分解的分块吉布斯采样方法，证明其条件分布形式，并通过模拟和数据分析展示计算效率。
Sampling from matrix generalized inverse Gaussian (MGIG) distributions is required in Markov chain Monte Carlo (MCMC) algorithms for a variety of statistical models. However, an efficient sampling scheme for the MGIG distributions has not been fully developed. We here propose a novel blocked Gibbs sampler for the MGIG distributions based on the Cholesky decomposition. We show that the full conditionals of the entries of the diagonal and unit lower-triangular matrices are univariate generalized inverse Gaussian and multivariate normal distributions, respectively. Several variants of the Metropolis-Hastings algorithm can also be considered for this problem, but we mathematically prove that the average acceptance rates become extremely low in particular scenarios. We demonstrate the computational efficiency of the proposed Gibbs sampler through simulation studies and data analysis. Supplementary materials for this article are available online.