Quotation Botts, Carsten, Hörmann, Wolfgang, Leydold, Josef. 2011. Transformed Density Rejection with Inflection Points. Research Report Series, Institute for Statistics and Mathematics, Report 110.


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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 acceptancerejection algorithm which obviates this need and can thus be used to sample from a larger class of distributions.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title Transformed Density Rejection with Inflection Points
Title of whole publication Research Report Series, Institute for Statistics and Mathematics, Report 110
Year 2011
URL http://epub.wu.ac.at/3158/

Associations

People
Hörmann, Wolfgang (Former researcher)
Leydold, Josef (Details)
External
Botts, Carsten
Organization
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
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