The Annals of Statistics
- Ann. Statist.
- Volume 34, Number 4 (2006), 1581-1619.
Equi-energy sampler with applications in statistical inference and statistical mechanics
We introduce a new sampling algorithm, the equi-energy sampler, for efficient statistical sampling and estimation. Complementary to the widely used temperature-domain methods, the equi-energy sampler, utilizing the temperature–energy duality, targets the energy directly. The focus on the energy function not only facilitates efficient sampling, but also provides a powerful means for statistical estimation, for example, the calculation of the density of states and microcanonical averages in statistical mechanics. The equi-energy sampler is applied to a variety of problems, including exponential regression in statistics, motif sampling in computational biology and protein folding in biophysics.
Ann. Statist. Volume 34, Number 4 (2006), 1581-1619.
First available in Project Euclid: 3 November 2006
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 65C05: Monte Carlo methods
Secondary: 65C40: Computational Markov chains 82B80: Numerical methods (Monte Carlo, series resummation, etc.) [See also 65-XX, 81T80] 62F15: Bayesian inference
Kou, S. C.; Zhou, Qing; Wong, Wing Hung. Equi-energy sampler with applications in statistical inference and statistical mechanics. Ann. Statist. 34 (2006), no. 4, 1581--1619. doi:10.1214/009053606000000515. https://projecteuclid.org/euclid.aos/1162567622