A Latent Slice Sampling Algorithm

Abstract: In this paper we introduce a new sampling algorithm which has the potential to be adopted as a universal replacement to the Metropolis--Hastings algorithm. It is related to the slice sampler, and motivated by an algorithm which is applicable to discrete probability distributions %which can be viewed as an alternative to the Metropolis--Hastings algorithm in this setting, which obviates the need for a proposal distribution, in that is has no accept/reject component. This paper looks at the continuous counterpart. A latent variable combined with a slice sampler and a shrinkage procedure applied to uniform density functions creates a highly efficient sampler which can generate random variables from very high dimensional distributions as a single block.