math/0611217Nov 8, 2006Published at http://dx.doi.org/10.1214/009053606000000489 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)

Discussion of "Equi-energy sampler" by Kou, Zhou and Wong

Yves F. Atchadé, Jun S. Liu

Statistics Theory

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Abstract

We congratulate Samuel Kou, Qing Zhou and Wing Wong [math.ST/0507080] (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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