Transformed density rejection with inflection points View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2013-03

AUTHORS

Carsten Botts, Wolfgang Hörmann, Josef Leydold

ABSTRACT

The acceptance-rejection algorithm is often used to sample from non-standard distributions. For this algorithm to be efficient, however, the user has to create a hat function that majorizes and closely matches the density of the distribution to be sampled from. There are many methods for automatically creating such hat functions, but these methods require that the user transforms the density so that she knows the exact location of the transformed density’s inflection points. In this paper, we propose an acceptance-rejection algorithm which obviates this need and can thus be used to sample from a larger class of distributions. More... »

PAGES

251-260

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s11222-011-9306-4

DOI

http://dx.doi.org/10.1007/s11222-011-9306-4

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1043766099


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