Trace-class Monte Carlo Markov chains for Bayesian multivariate linear regression with non-Gaussian errors

Qian Qin, James P. Hobert

Research output: Contribution to journalArticlepeer-review

3 Scopus citations


Let π denote the intractable posterior density that results when the likelihood from a multivariate linear regression model with errors from a scale mixture of normals is combined with the standard non-informative prior. There is a simple data augmentation algorithm (based on latent data from the mixing density) that can be used to explore π. Let h and d denote the mixing density and the dimension of the regression model, respectively. Hobert et al. (2018) have recently shown that, if h converges to 0 at the origin at an appropriate rate, and ∫0 ud∕2h(u)du<∞ then the Markov chains underlying the data augmentation (DA) algorithm and an alternative Haar parameter expanded DA (PX-DA) algorithm are both geometrically ergodic. Their results are established using probabilistic techniques based on drift and minorization conditions. In this paper, spectral analytic techniques are used to establish that something much stronger than geometric ergodicity often holds. In particular, it is shown that, under simple conditions on h, the Markov operators defined by the DA and Haar PX-DA Markov chains are trace-class, i.e., compact with summable eigenvalues. Many standard mixing densities satisfy the conditions developed in this paper. Indeed, the new results imply that the DA and Haar PX-DA Markov operators are trace-class whenever the mixing density is generalized inverse Gaussian, log-normal, Fréchet (with shape parameter larger than d∕2), or inverted Gamma (with shape parameter larger than d∕2).

Original languageEnglish (US)
Pages (from-to)335-345
Number of pages11
JournalJournal of Multivariate Analysis
StatePublished - Jul 2018
Externally publishedYes

Bibliographical note

Funding Information:
We would like to thank the editor-in-chief, the associate editor, and the reviewer for their help in making this paper better. The second author was supported by National Science Foundation (NSF) Grant DMS–15–11945 .

Publisher Copyright:
© 2018 Elsevier Inc.

Copyright 2018 Elsevier B.V., All rights reserved.


  • Compact operator
  • Data augmentation algorithm
  • Haar PX-DA algorithm
  • Heavy-tailed distribution
  • Markov operator
  • Scale mixture
  • Trace-class operator

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