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MaPhySto
Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

MPS-RR 1999-43
November 1999




Perfect Slice Samplers

by:

Jesper Møller

A. Mira, G.O. Roberts

Abstract

Perfect sampling allows exact simulation of random variables from the stationary measure of a Markov chain. By exploiting monotonicity properties of the slice sampler we show that a perfect version of the algorithm can be easily implemented, at least when the target distribution is bounded. Various extensions, including perfect product slice samplers, and examples of applications are discussed.

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This paper has now been published in Journal of Royal Statistical Society Ser. B 63, 593 - 606 (2001)