Rates of convergence for Gibbs sampling in the analysis of almost exchangeable data

Abstract

Motivated by de Finetti's representation theorem for almost exchangeable arrays, we want to sample $\mathbf{p}\in [0,1{]}^d$ from a distribution with density proportional to $\exp (-A^2{\sum }_{i<j}{c}_{ij}(p_i-p_j{)}^2)$, where $A$ is large and $c_{ij}$'s are non-negative weights. We analyze the rate of convergence of a coordinate Gibbs sampler used to simulate from these measures. We show that for every non-zero fixed matrix $C=(c_{ij})$, and large enough $A$, mixing happens in $\Theta (A^2)$ steps in a suitable Wasserstein distance. The upper and lower bounds are explicit and depend on the matrix $C$ through few relevant spectral parameters.