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Improved Perfect Slice Sampling

Hörmann, Wolfgang and Leydold, Josef (2003) Improved Perfect Slice Sampling. Preprint Series / Department of Applied Statistics and Data Processing, 49. Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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Abstract

Perfect slice sampling is a method to turn Markov Chain Monte Carlo (MCMC) samplers into exact generators for independent random variates. The originally proposed method is rather slow and thus several improvements have been suggested. However, two of them are erroneous. In this article we give a short introduction to perfect slice sampling, point out incorrect methods, and give a new improved version of the original algorithm. (author's abstract)

Item Type: Paper
Keywords: random variate generation / Markov chain Monte Carlo method / perfect sampling / coupling from the past / slice sampler / layered multishift coupling
Classification Codes: MSC 65C05, 65C10
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Jul 2006 15:35
Last Modified: 04 Apr 2015 16:19
URI: http://epub.wu.ac.at/id/eprint/868

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