Exact sampling for intractable probability distributions via a Bernoulli factory

TL;DR

This paper introduces an exact sampling algorithm for intractable distributions using a Bernoulli factory, reducing input requirements and enabling perfect sampling in complex statistical models.

Contribution

It develops a new exact sampling method leveraging a Bernoulli factory for uncountable support distributions, with practical algorithms for Markov chains in statistical applications.

Findings

Reduced number of input draws for Bernoulli factory

Successful application to Metropolis-Hastings and Gibbs samplers

Illustration on Bayesian random effects model

Abstract

Many applications in the field of statistics require Markov chain Monte Carlo methods. Determining appropriate starting values and run lengths can be both analytically and empirically challenging. A desire to overcome these problems has led to the development of exact, or perfect, sampling algorithms which convert a Markov chain into an algorithm that produces i.i.d. samples from the stationary distribution. Unfortunately, very few of these algorithms have been developed for the distributions that arise in statistical applications, which typically have uncountable support. Here we study an exact sampling algorithm using a geometrically ergodic Markov chain on a general state space. Our work provides a significant reduction to the number of input draws necessary for the Bernoulli factory, which enables exact sampling via a rejection sampling approach. We illustrate the algorithm on a univariate Metropolis-Hastings sampler and a bivariate Gibbs sampler, which provide a proof of concept and insight into hyper-parameter selection. Finally, we illustrate the algorithm on a Bayesian version of the one-way random effects model with data from a styrene exposure study.