We consider admissibility in a formal Bayes setting. This includes the
frequentist concern of evaluating a decision rule and the Bayesian concern of
evaluating a prior. We generalize Eaton's method, which exploits a connection
between admissibility and a Markov chain defined by the sampling distribution
and posterior. This generalization leads us to introduce the idea of
$\varPhi$-admissibility, itself a generalization of strong admissibility. To
illustrate the method, we establish $\varPhi$-admissibility conditions for a
family of priors on multivariate normal means.
We consider a Bayesian hierarchical version of the normal theory general
linear model which is practically relevant in the sense that it is general
enough to have many applications and it is not straightforward to sample
directly from the corresponding posterior distribution. Thus we study a block
Gibbs sampler that has the posterior as its invariant distribution. We
establish that the Gibbs sampler converges at a geometric rate. This allows us
to establish conditions for a central limit theorem for the ergodic averages
used to estimate features of the posterior.
Calculating a Monte Carlo standard error (MCSE) is an important step in the
statistical analysis of the simulation output obtained from a Markov chain
Monte Carlo experiment. For example, it can be used to provide a rigorous
method for terminating the simulation. An MCSE is usually based on an estimate
of the variance of the asymptotic normal distribution. We consider spectral and
batch means methods for estimating this variance. In particular, we establish
conditions which guarantee that these estimators are strongly consistent as the