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Markov Chain Monte Carlo (MCMC) refers to a class of simulation methods for generating samples from a complex target distribution by generating random numbers from a Markov Chain whose stationary distribution is the target distribution. MCMC methods are typically used when more direct methods for random number generation (e.g. inversion method) are infeasible. The very first MCMC method was the Metropolis (et al.) algorithm, later expanded by Hastings.

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Convergence results for block-gibbs sampling?

Suppose you have some complex model you want to sample from by Markov chain Monte Carlo. There are many types of situations where you can divide your variables into, say, two groups, and efficiently …