1st August 2005 — Slice Sampling

Iain will review slice sampling. This is great for your routine MCMC needs. If you are currently using dumb Metropolis on continuous spaces you should probably use this instead.

Slice Sampling, Radford Neal, Annals of Statistics 2003. Tech report (updated from 1997 version in 2000), Journal version

The journal version has discussion and a rejoinder, which is worth a look if you can get hold of it. One of the discussions is available separately: Slice Sampling — a Binary Implementation.

I also mentioned adaptive rejection sampling. The references are: