Work

Sampling Polya-Gamma random variates: alternate and approximate techniques

Year: 2014

Type: preprint

Abstract: Efficiently sampling from the Pólya-Gamma distribution, ${PG}(b,z)$, is an essential element of Pólya-Gamma data augmentation. Polson et. al (2013) show how to efficiently sample from the ${PG}(1,z)$ distribution. We build two new samplers that offer improved performance when sampling from the ${PG}(b,z)$ distribution and $b$ is not unity.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1405.0506

Authors: Windle, Jesse, Polson, Nicholas G., Scott, James G.

Language: English

Topic: Markov Chains and Monte Carlo Methods

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: green

OpenAlex ID: W1544760581

Cites: 15

Cited by: 16

Related to: 10