ibbs sampler produces a sample that converges in distribution to a target
multidimensional random variable specified by a distribution known up to a
normalization constant. Bayesian analysis
(
Bayesian section
) is the main
field of application.
Suppose we are given a distribution
.
The variable
is multidimensional:
.
Algorithm
The first element
of
a sample is drawn from some distribution
.
We proceed to generate the subsequent draws
,
as
follows:
Set
.
For every
do
1.
form a vector
;
2.
generate a draw
from
the single dimensional conditional distribution
;
