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The shrinking rank method is a variation of slice sampling that is efficient at sampling from multivariate distributions with highly correlated parameters.
Slice sampling
Neal, R. M. (2003) · 2003
Earlier work this paper cites.
Bayesian Data Analysis, Second Edition
Gelman, A., Carlin, J. B., Stern, H. S., and Rubin, D. B. (2004) · 2004
Earlier work this paper cites.
Examples of adaptive MCMC
Roberts, G. O. and Rosenthal, J. S. (2009) · 2009
Earlier work this paper cites.
A general purpose sampling algorithm for continuous distributions (the t-walk)
Christen, J. A. and Fox, C. (2010) · 2010
Cited alongside, same era.
Graphical comparison of MCMC performance
Thompson, M. B. (2010) · 2010
Cited alongside, same era.
Covariance-adaptive slice sampling
Thompson, M. B. and Neal, R. M. (2010) · 2010
Closest in time.
Riemann manifold Langevin and Hamiltonian Monte Carlo
Girolami, M. and Calderhead, B. (2011) · 2011
Closest in time.
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