Quotation Hörmann, Wolfgang, Leydold, Josef, Derflinger, Gerhard. 2007. Inverse Transformed Density Rejection for Unbounded Monotone Densities. ACM Transactions on Modeling and Computer Simulation 17 (4): 18/1-18/16.




A new algorithm for sampling from largely arbitrary monotone, unbounded densities is presented. The user has to provide a program to evaluate the density and its derivative and the location of the pole. Then the setup of the new algorithm constructs different hat functions for the pole region and tail region, respectively. For the pole region a new method is developed that uses a transformed density rejection hat function of the inverse density. As the order of the pole is calculated in the setup, conditions that guarantee correctness of the constructed hat functions are provided. Numerical experiments indicate that the new algorithm works correctly and moderately fast for many different unbounded densities.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal ACM Transactions on Modelling and Computer Simulation
Citation Index SCI
WU-Journal-Rating new WH-B
Language German
Title Inverse Transformed Density Rejection for Unbounded Monotone Densities
Volume 17
Number 4
Year 2007
Page from 18/1
Page to 18/16
Reviewed? Y
URL http://doi.acm.org/10.1145/1276927.1276931


Random Variate Generation and Markov Chain Monte Carlo
Leydold, Josef (Details)
Derflinger, Gerhard (Former researcher)
Hörmann, Wolfgang (Department for Industrial Engineering, Bogazici University Istanbul, Turkey)
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
1133 Computer-aided simulation (Details)
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