Convergence complexity analysis of albert and chib's algorithm for Bayesian probit regression

Qian Qin, James P. Hobert

Research output: Contribution to journalArticlepeer-review

17 Scopus citations


The use of MCMC algorithms in high dimensional Bayesian problems has become routine. This has spurred so-called convergence complexity analysis, the goal of which is to ascertain how the convergence rate of a Monte Carlo Markov chain scales with sample size, n, and/or number of covariates, p. This article provides a thorough convergence complexity analysis of Albert and Chib's [J. Amer. Statist. Assoc. 88 (1993) 669-679] data augmentation algorithm for the Bayesian probit regression model. The main tools used in this analysis are drift and minorization conditions. The usual pitfalls associated with this type of analysis are avoided by utilizing centered drift functions, which are minimized in high posterior probability regions, and by using a new technique to suppress high-dimensionality in the construction of minorization conditions. The main result is that the geometric convergence rate of the underlying Markov chain is bounded below 1 both as n → 8 (with p fixed), and as p → 8 (with n fixed). Furthermore, the first computable bounds on the total variation distance to stationarity are byproducts of the asymptotic analysis.

Original languageEnglish (US)
Pages (from-to)2320-2347
Number of pages28
JournalAnnals of Statistics
Issue number4
StatePublished - 2019
Externally publishedYes

Bibliographical note

Funding Information:
Received December 2017; revised April 2018. 1Supported by NSF Grant DMS-15-11945. Primary 60J05; secondary 65C05. Key words and phrases. Drift condition, geometric ergodicity, high dimensional inference, large p-small n, Markov chain Monte Carlo, minorization condition.

Publisher Copyright:
© 2019 Institute of Mathematical Statistics. All rights reserved.


  • Drift condition
  • Geometric ergodicity
  • High dimensional inference
  • Large p-small n
  • Markov chain Monte Carlo
  • Minorization condition


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