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Register a new userPseudo-Marginal Slice Sampling
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Added by
Iain Murray
Publication date
2015
fields
Mathematical Statistics
and research's language is
English
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Markov chain Monte Carlo (MCMC) methods asymptotically sample from complex probability distributions. The pseudo-marginal MCMC framework only requires an unbiased estimator of the unnormalized probability distribution function to construct a Markov chain. However, the resulting chains are harder to tune to a target distribution than conventional MCMC, and the types of updates available are limited. We describe a general way to clamp and update the random numbers used in a pseudo-marginal methods unbiased estimator. In this framework we can use slice sampling and other adaptive methods. We obtain more robust Markov chains, which often mix more quickly.
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