Gibbs sampling

E260029

Gibbs sampling is a Markov chain Monte Carlo algorithm that generates samples from complex multivariate probability distributions by iteratively sampling each variable from its conditional distribution given the others.

All labels observed (1)

Label Occurrences
Gibbs sampling canonical 6

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Statements (61)

Predicate Object
instanceOf Markov chain Monte Carlo algorithm ⓘ
sampling algorithm ⓘ
stochastic simulation method ⓘ
appliesTo continuous variables ⓘ
discrete variables ⓘ
mixed discrete–continuous models ⓘ
basedOn Markov chain theory ⓘ
linked to: Markov processes

conditional probability distributions ⓘ
convergesTo target joint distribution under regularity conditions ⓘ
hasAdvantage no need to tune proposal distributions ⓘ
simple to implement when conditionals are standard distributions ⓘ
hasLimitation can mix slowly when variables are highly correlated ⓘ
may get stuck in local modes for multimodal distributions ⓘ
hasProperty a special case of the Metropolis–Hastings algorithm ⓘ
asymptotically exact ⓘ
component-wise updating ⓘ
coordinate-wise updating ⓘ
ergodic under suitable conditions ⓘ
iterative ⓘ
produces correlated samples ⓘ
requires ability to sample from full conditional distributions ⓘ
requires burn-in period ⓘ
requires convergence diagnostics ⓘ
reversible with respect to the target distribution ⓘ
stochastic ⓘ
hasPurpose to approximate expectations under a target distribution ⓘ
to approximate posterior distributions ⓘ
to generate samples from complex multivariate probability distributions ⓘ
to perform Bayesian inference ⓘ
hasStep discard initial burn-in samples ⓘ
initialize all variables ⓘ
iterate the sampling steps to form a Markov chain ⓘ
sample each variable from its conditional distribution given current values of other variables ⓘ
use remaining samples to approximate the target distribution ⓘ
namedAfter Josiah Willard Gibbs ⓘ
relatedTo Hamiltonian Monte Carlo ⓘ
Metropolis–Hastings algorithm ⓘ
blocked Gibbs sampling ⓘ
collapsed Gibbs sampling ⓘ
slice sampling ⓘ
requires full conditional distributions of all variables ⓘ
satisfies detailed balance with respect to the target distribution ⓘ
usedIn Bayesian linear regression ⓘ
Bayesian logistic regression ⓘ
Bayesian networks ⓘ
Bayesian statistics ⓘ
linked to: Bayesian inference

Gaussian mixture models ⓘ
Latent Dirichlet Allocation ⓘ
Markov random fields ⓘ
computational biology ⓘ
data augmentation methods ⓘ
econometrics ⓘ
graphical models ⓘ
hidden Markov models ⓘ
linked to: Hidden Markov Model

hierarchical Bayesian models ⓘ
image processing ⓘ
machine learning ⓘ
missing data imputation ⓘ
psychometrics ⓘ
spatial statistics ⓘ
topic models ⓘ

How these facts were elicited

Referenced by (6)

Full triples — surface form annotated when it differs from this entity's canonical label.

Markov chain Monte Carlo → hasMethod → Gibbs sampling ⓘ
Metropolis algorithm → relatedTo → Gibbs sampling ⓘ
Markov random field → inferenceMethodsInclude → Gibbs sampling ⓘ
subject linked to: Markov random fields
detailed balance principle → usedIn → Gibbs sampling ⓘ
Bayesian nonparametrics → usesConcept → Gibbs sampling ⓘ