Improved Perfect Slice Sampling

Wolfgang Hörmann; Josef Leydold

Improved Perfect Slice Sampling

Publikation: Working/Discussion Paper › WU Working Paper

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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)

Originalsprache	Englisch
Erscheinungsort	Vienna
Herausgeber	Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
Publikationsstatus	Veröffentlicht - 2003

Publikationsreihe

Reihe	Preprint Series / Department of Applied Statistics and Data Processing
Nummer	49

WU Working Paper Reihe

Preprint Series / Department of Applied Statistics and Data Processing

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DocumentEndgültige, publizierte Fassung, 294 KBLizenz: Sonstige

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Katalog der Universitätsbibliothek

Erzeugung von Zufallszahlen und MCMC
Leydold, J., Derflinger, G., Hörmann, W., Karawatzki, R. & Tirler, G.
1/11/03 → 31/10/06
Projekt: Forschungsförderung

Zitat

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AB - 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)

M3 - WU Working Paper

T3 - Preprint Series / Department of Applied Statistics and Data Processing

BT - Improved Perfect Slice Sampling

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ER -

Improved Perfect Slice Sampling

Abstract

Publikationsreihe

WU Working Paper Reihe

Zugriff auf Dokument

Verfügbarkeit prüfen

Projekte

Erzeugung von Zufallszahlen und MCMC

Zitat