Should We Use ASIS?

This paper improves the convergence of two variance parameters in He and Sun (2000) by applying the ancillarity-sufficiency interweaving strategy (ASIS in Yu and Meng (2011)) algorithm to the Gibbs sampling steps. The performance of the ASIS algorithm is compared with the regular Gibbs sampling by the potential scale reduction factor, trace plots and posterior estimates. The convergence of one parameter improves greatly, but the other one does not have a very significant improvement. However, the overall sampling performance has improved greatly since it needs much fewer iterations than using regular Gibbs sampling to achieve convergence.