Lookup NU author(s): Professor Darren Wilkinson,
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This paper examines strategies for simulating exactly from large Gaussian linear models conditional on some Gaussian observations. Local computation strategies based on the conditional independence structure of the model are developed in order to reduce costs associated with storage and computation. Application of these algorithms to simulation from nested hierarchical linear models is considered, and the construction of efficient MCMC schemes for Bayesian inference in high-dimensional linear models is outlined.
Author(s): Wilkinson DJ; Yeung SKH
Publication type: Article
Publication status: Published
Journal: Statistics and Computing
ISSN (print): 0960-3174
ISSN (electronic): 1573-1375
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