Adaptive Rejection Metropolis Sampling Within Gibbs Sampling

  title={Adaptive Rejection Metropolis Sampling Within Gibbs Sampling},
  author={Walter R. Gilks and Nicky Best and K. K. C. Tan},
  journal={Journal of The Royal Statistical Society Series C-applied Statistics},
  • W. Gilks, N. Best, K. Tan
  • Published 1 December 1995
  • Computer Science
  • Journal of The Royal Statistical Society Series C-applied Statistics
Gibbs sampling is a powerful technique for statistical inference. It involves little more than sampling from full conditional distributions, which can be both complex and computationally expensive to evaluate. Gilks and Wild have shown that in practice full conditionals are often log‐concave, and they proposed a method of adaptive rejection sampling for efficiently sampling from univariate log‐concave distributions. In this paper, to deal with non‐log‐concave full conditional distributions, we… 

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