Automated Factor Slice Sampling

. Author manuscript; available in PMC: 2015 Jan 1.

Published in final edited form as: J Comput Graph Stat. 2013 Apr 28;23(2):543–563. doi: 10.1080/10618600.2013.791193

Algorithm 3: Iterative Procedure for Parameter Covariance Estimation

1. Set Γ̂⁽⁰⁾ =I, Λ⁽⁰⁾ = I, and t = 1, where I is an identity matrix.

2. Draw N samples using Γ̂^(t−1), an orthogonal basis for the factor slice sampler.

3. Compute Λ^(t) and its corresponding eigenvectors Γ^(t).

4. Find A, where A is a rotation matrix such that Λ^(t−1)A = Λ^(t). Set t = t + 1.

5. Repeat steps 2 through 4 until Σ (A− I) is below a preset threshold.