A latent slice sampling algorithm

Yanxin Li and Stephen G. Walker

Computational Statistics & Data Analysis, 2023, vol. 179, issue C

Abstract: Motivated by a sampling algorithm for discrete spaces, a variation of the slice sampler for continuous spaces is introduced. It utilizes latent variables and is related to Neal's slice sampler. The key difference is that the additional latent variables allow the sequential stepping out or doubling procedures, which makes the basic slice sampler difficult to use in high dimensional problems, to be avoided. On the other hand, the latent slice sampling algorithm is applicable on high dimensional problems where the variables can all be treated in a single block.

Keywords: High dimensional density; Markov chain Monte Carlo; Shrinkage procedure; Uniform random variable (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:179:y:2023:i:c:s0167947322002328

DOI: 10.1016/j.csda.2022.107652

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