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arXiv 1405.0506stat.CO
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抽样Polya-Gamma随机变量:交替和近似技术

Sampling Polya-Gamma random variates: alternate and approximate techniques

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

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.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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