Efficient Gibbs sampler for Bayesian analysis of a sample selection model

被引：7

作者：

Omori, Yasuhiro ^{[1
]}

机构：

[1] Univ Tokyo, Fac Econ, Tokyo 1130033, Japan

来源：

STATISTICS & PROBABILITY LETTERS | 2007年 / 77卷 / 12期

关键词：

Bayesian analysis; Gibbs sampler; sample selection model; Tobit model;

D O I：

10.1016/j.spl.2007.03.015

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider Bayesian estimation of a sample selection model and propose a highly efficient Gibbs sampler using the additional scale transformation step to speed up the convergence to the posterior distribution. Numerical examples are given to show the efficiency of our proposed sampler. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：1300 / 1311

页数：12

共 15 条

[1] BAYESIAN-ANALYSIS OF BINARY AND POLYCHOTOMOUS RESPONSE DATA [J].