抽样Polya-Gamma随机变量:交替和近似技术
Sampling Polya-Gamma random variates: alternate and approximate techniques
摘要:
从Γ分布(${PG}(b,z)$)有效采样是Pólya-Gamma数据扩充的基本要素。Polson et. al(2013)展示了如何有效地从${PG}(1,z)$分布中采样。我们建立了两个新的采样器,提供改进的性能时,从${PG}(b,z)$分布和$b$采样是不统一的。
英文摘要:
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.
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