Trivial intersection of σ-fields and Gibbs sampling
Berti, Patrizia ; Pratelli, Luca ; Rigo, Pietro
Ann. Probab., Tome 36 (2008) no. 1, p. 2215-2234 / Harvested from Project Euclid
Let $(\Omega,\mathcal{F},P)$ be a probability space and $\mathcal{N}$ the class of those $F\in\mathcal{F}$ satisfying P(F)∈{0, 1}. For each $\mathcal{G}\subset\mathcal{F}$ , define $\overline{\mathcal{G}}=\sigma(\mathcal{G}\cup\mathcal {N})$ . Necessary and sufficient conditions for $\overline{\mathcal{A}}\cap\overline{\mathcal{B}}=\overline {\mathcal {A}\cap\mathcal{B}}$ , where $\mathcal{A},\mathcal{B}\subset\mathcal{F}$ are sub-σ-fields, are given. These conditions are then applied to the (two-component) Gibbs sampler. Suppose X and Y are the coordinate projections on $(\Omega,\mathcal{F})=(\mathcal{X}\times\mathcal{Y},\mathcal {U}\otimes \mathcal{V})$ where $(\mathcal{X},\mathcal{U})$ and $(\mathcal{Y},\mathcal{V})$ are measurable spaces. Let (Xn, Yn)n≥0 be the Gibbs chain for P. Then, the SLLN holds for (Xn, Yn) if and only if $\overline{\sigma(X)}\cap\overline{\sigma(Y)}=\mathcal{N}$ , or equivalently if and only if P(X∈U)P(Y∈V)=0 whenever $U\in\mathcal{U}$ , $V\in\mathcal{V}$ and P(U×V)=P(Uc×Vc)=0. The latter condition is also equivalent to ergodicity of (Xn, Yn), on a certain subset S0⊂Ω, in case $\mathcal{F}=\mathcal{U}\otimes\mathcal{V}$ is countably generated and P absolutely continuous with respect to a product measure.
Publié le : 2008-11-15
Classification:  Ergodicity,  Gibbs sampler,  iterated conditional expectation,  Markov chain,  strong law of large numbers,  sufficiency,  60A05,  60A10,  60J22,  65C05
@article{1229696601,
     author = {Berti, Patrizia and Pratelli, Luca and Rigo, Pietro},
     title = {Trivial intersection of $\sigma$-fields and Gibbs sampling},
     journal = {Ann. Probab.},
     volume = {36},
     number = {1},
     year = {2008},
     pages = { 2215-2234},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1229696601}
}
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro. Trivial intersection of σ-fields and Gibbs sampling. Ann. Probab., Tome 36 (2008) no. 1, pp.  2215-2234. http://gdmltest.u-ga.fr/item/1229696601/