Journal of the American Statistical Association, 1999. [All Versions]. [Preprint]. Viewing the observed data of a statistical model as incomplete and augmenting its missing parts are useful for clarifying concepts and central to the invention of two well-known statistical algorithms: expectation-maximization (EM) and data augmentation. Recently, the authors demonstrated that expanding the parameter space along with augmenting the missing data is useful for accelerating iterative computation in an EM algorithm. The main purpose of this article is to rigorously define a parameter expanded data augmentation (PX-DA) algorithm and to study its theoretical properties. The PX-DA is a special way of using auxiliary variables to accelerate Gibbs sampling algorithms and is closely related to reparameterization techniques
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