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August 2006 Discussion of “Equi-energy sampler” by Kou, Zhou and Wong
Yves F. Atchadé, Jun S. Liu
Ann. Statist. 34(4): 1620-1628 (August 2006). DOI: 10.1214/009053606000000489


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.


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Yves F. Atchadé. Jun S. Liu. "Discussion of “Equi-energy sampler” by Kou, Zhou and Wong." Ann. Statist. 34 (4) 1620 - 1628, August 2006.


Published: August 2006
First available in Project Euclid: 3 November 2006

zbMATH: 1246.82051
MathSciNet: MR2283711
Digital Object Identifier: 10.1214/009053606000000489

Rights: Copyright © 2006 Institute of Mathematical Statistics


Vol.34 • No. 4 • August 2006
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