Improved Perfect Slice Sampling

Wolfgang Hörmann, Josef Leydold

Publication: Working/Discussion PaperWU 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 languageEnglish
Place of PublicationVienna
PublisherDepartment of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
Publication statusPublished - 2003

Publication series

NamePreprint 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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