2003-04.wh-ley
Improved Perfect Slice Sampling
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.
Mathematics Subject Classification:
65C05 (Monte Carlo Methods)
65C10 (Random Number Generation)
CR Categories and Subject Descriptors:
G.3 [Probability and Statistics]: Random number generation
General Terms:
Algorithms
Key Words:
random variate generation,
Markov chain Monte Carlo method,
perfect sampling,
coupling from the past,
slice sampler,
layered multishift coupling
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Josef.Leydold@statistik.wu-wien.ac.at