Slice sampling. (With discussions and rejoinder) (Q1412362)

The author describes a class of slice sampling methods that can be applied to a wide variety of distributions. Section~2 summarizes general-purpose Markov chain sampling methods as the Gibbs sampling, the adaptive rejection sampling, the adaptive rejection Metropolis sampling etc. Section~3 presents the basic ideas of a slice sampling and thoroughly discusses different predecessors more or less connected to it. The principal message of the paper is concentrated in chapters 4--7. At first, simple variable slice samplings methods are described. Then the author concentrates on multivariate slice sampling methods and reflective slice sampling. An example forms the final section. I liked the paper and I must say that despite it is a paper for Annals of Statistics, the author really concentrates on the ideas and not on the formal proofs as is typical for this journal. I am sure that everybody who want to get an idea of what is slice sampling will be satisfied. The paper is complemented by an interesting discussion prepared by Ming-Hui Chen, B. W. Schmeiser, O. B. Downs, A. Mira, G. O. Roberts, J. Skilling, D. J. C. MacKey and G. S. Walker.