Quantile Slice Sampling
Presenter
January 16, 2026
Abstract
We propose and demonstrate a novel, effective approach to simple slice sampling. Using the probability integral transform, we first generalize Neal's shrinkage algorithm, standardizing the procedure to an automatic and universal starting point: the unit interval. This enables the introduction of approximate (pseudo-) targets through a factorization used in importance sampling, a technique that has popularized elliptical slice sampling. Reasonably accurate pseudo-targets can boost sampler efficiency by requiring fewer rejections and by reducing target skewness. This strategy is effective when a natural, possibly crude approximation to the target exists. Alternatively, obtaining a marginal pseudo-target from initial samples provides an intuitive and automatic tuning procedure. We consider pseudo-target specification and interpretable diagnostics. We examine performance of the proposed sampler relative to other popular, easily implemented MCMC samplers on standard targets in isolation, and as steps within a Gibbs sampler in a Bayesian modeling context. We prospectively extend to multivariate slice samplers that target large discrete spaces commonly encountered in Bayesian nonparametrics. R package qslice is available on CRAN.