Sampling Polya-Gamma random variates: alternate and approximate techniques
Computation
2014-05-06 v1
Abstract
Efficiently sampling from the P\'olya-Gamma distribution, , is an essential element of P\'olya-Gamma data augmentation. Polson et. al (2013) show how to efficiently sample from the distribution. We build two new samplers that offer improved performance when sampling from the distribution and is not unity.
Keywords
Cite
@article{arxiv.1405.0506,
title = {Sampling Polya-Gamma random variates: alternate and approximate techniques},
author = {Jesse Windle and Nicholas G. Polson and James G. Scott},
journal= {arXiv preprint arXiv:1405.0506},
year = {2014}
}