Equi-energy sampler with applications in statistical inference and statistical mechanics

Details Equi-energy sampler with applications in statistical inference and statistical mechanics Equi-energy sampler with applications in statistical inference and statistical mechanics

2005-07-04

arxiv.org/abs/math/0507080v2

Annals Statist.34:1581-1619,2006

Mathematics

Statistics Theory

This paper discussed in: [math.ST/0611217], [math.ST/0611219], [math.ST/0611221], [math.ST/0611222]. Rejoinder in [math.ST/061

Scientific paper

10.1214/009053606000000515

We introduce a new sampling algorithm, the equi-energy sampler, for efficient statistical sampling and estimation. Complementary to the widely used temperature-domain methods, the equi-energy sampler, utilizing the temperature--energy duality, targets the energy directly. The focus on the energy function not only facilitates efficient sampling, but also provides a powerful means for statistical estimation, for example, the calculation of the density of states and microcanonical averages in statistical mechanics. The equi-energy sampler is applied to a variety of problems, including exponential regression in statistics, motif sampling in computational biology and protein folding in biophysics.

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