The data augmentation (DA) algorithm is a widely used Markov chain Monte Carlo (MCMC) algorithm that is based on a Markov transition density of the form $p(x|x')=\int_{\mathsf{Y}}f_{X|Y}(x|y)f_{Y|X}(y|x') dy$, where $f_{X|Y}$ and $f_{Y|X}$ are conditional densities. The PX-DA and marginal augmentation algorithms of Liu and Wu [J. Amer. Statist. Assoc. 94 (1999) 1264--1274] and Meng and van Dyk [Biometrika 86 (1999) 301--320] are alternatives to DA that often converge much faster and are only slightly more computationally demanding. The transition densities of these alternative algorithms can be written in the form $p_R(x|x')=\int_{\mathsf{Y}}\int _{\mathsf{Y}}f_{X|Y}(x|y')R(y,dy')f_{Y|X}(y|x') dy$, where $R$ is a Markov transition function on $\mathsf{Y}$. We prove that when $R$ satisfies certain conditions, the MCMC algorithm driven by $p_R$ is at least as good as that driven by $p$ in terms of performance in the central limit theorem and in the operator norm sense. These results are brought to bear on a theoretical comparison of the DA, PX-DA and marginal augmentation algorithms. Our focus is on situations where the group structure exploited by Liu and Wu is available. We show that the PX-DA algorithm based on Haar measure is at least as good as any PX-DA algorithm constructed using a proper prior on the group.

Published in at http://dx.doi.org/10.1214/009053607000000569 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)