Convergence properties of the Gibbs sampler for perturbations of Gaussians

Abstract

The exact second eigenvalue of the Markov operator of the Gibbs sampler with random sweep strategy for Gaussian densities is calculated. A comparison lemma yields an upper bound on the second eigenvalue for bounded perturbations of Gaussians which is a significant improvement over previous bounds. For two-block Gibbs sampler algorithms with a perturbation of the form $\chi(g_1(x^{(1)}) + g_2(x^{(2)}))$ the derivative of the second eigenvalue of the algorithm is calculated exactly at $\chi = 0$, in terms of expectations of the Hessian matrices of $g_1$ and $g_2$.