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Taeyoung Park, David A. van Dyk, Partially Collapsed Gibbs Samplers: Illustrations and Applications, Journal of Computational and Graphical Statistics, Vol. 18, No. 2 (June 2009), pp. 283-305 ...

We empirically compare the Gibbs and H&R samplers on bivariate normal examples. For zero correlation, the Gibbs sampler provides independent data, resulting in better performance than H&R. As the ...