Discussion of “Equi-energy sampler” by Kou, Zhou and Wong
Atchadé, Yves F. ; Liu, Jun S.
Ann. Statist., Tome 34 (2006) no. 1, p. 1620-1628 / Harvested from Project Euclid
We congratulate Samuel Kou, Qing Zhou and Wing Wong (referred to subsequently as KZW) for this beautifully written paper, which opens a new direction in Monte Carlo computation. This discussion has two parts. First, we describe a very closely related method, multicanonical sampling (MCS), and report a simulation example that compares the equi-energy (EE) sampler with MCS. Overall, we found the two algorithms to be of comparable efficiency for the simulation problem considered. In the second part, we develop some additional convergence results for the EE sampler.
Publié le : 2006-08-14
Classification: 
@article{1162567623,
     author = {Atchad\'e, Yves F. and Liu, Jun S.},
     title = {Discussion of ``Equi-energy sampler'' by Kou, Zhou and Wong},
     journal = {Ann. Statist.},
     volume = {34},
     number = {1},
     year = {2006},
     pages = { 1620-1628},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1162567623}
}
Atchadé, Yves F.; Liu, Jun S. Discussion of “Equi-energy sampler” by Kou, Zhou and Wong. Ann. Statist., Tome 34 (2006) no. 1, pp.  1620-1628. http://gdmltest.u-ga.fr/item/1162567623/