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.
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:
- Gilks, W. R. (1992) Derivative-free adaptive rejection sampling for Gibbs sampling. Bayesian Statistics 4, (eds. Bernardo, J., Berger, J., Dawid, A. P., and Smith, A. F. M.) Oxford University Press.
- Gilks, W. R., Best, N. G. and Tan, K. K. C. (1995) Adaptive rejection Metropolis sampling. Applied Statistics, 44, 455-472.
- Gilks, W. R. and Wild, P. (1992) Adaptive rejection sampling for Gibbs sampling. Applied Statistics 41, pp 337-348.