Improved Perfect Slice Sampling

Wolfgang Hörmann; Josef Leydold

Improved Perfect Slice Sampling

Institute for Statistics and Mathematics

Publication: Working/Discussion Paper › WU Working Paper

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)

Original language	English
Place of Publication	Vienna
Publisher	Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
Publication status	Published - 2003

Publication series

Name	Preprint Series / Department of Applied Statistics and Data Processing
No.	49

WU Working Paper Series

Preprint Series / Department of Applied Statistics and Data Processing

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Improved Perfect Slice Sampling. / Hörmann, Wolfgang; Leydold, Josef.

April 2003. ed. Vienna : Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, 2003. (Preprint Series / Department of Applied Statistics and Data Processing; No. 49).

Publication: Working/Discussion Paper › WU Working Paper

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