Sampling Polya-Gamma random variates: alternate and approximate techniques

Abstract

Efficiently sampling from the Pólya-Gamma distribution, $PG(b,z)$, is an essential element of Pólya-Gamma data augmentation. Polson et. al (2013) show how to efficiently sample from the $PG(1,z)$ distribution. We build two new samplers that offer improved performance when sampling from the $PG(b,z)$ distribution and $b$ is not unity.

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