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Improved Perfect Slice Sampling

By Wolfgang Hörmann and Josef Leydold

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)Series: Preprint Series / Department of Applied Statistics and Data Processin

Topics: MSC 65C05, 65C10, random variate generation / Markov chain Monte Carlo method / perfect sampling / coupling from the past / slice sampler / layered multishift coupling
Publisher: Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
Year: 2003
OAI identifier: oai:epub.wu-wien.ac.at:epub-wu-01_9f6

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