Quotation Botts, Carsten, Hörmann, Wolfgang, Leydold, Josef. 2013. Transformed density rejection with inflection points. Statistics and Computing 23 (2): 251-260.


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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 acceptance-rejection 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 Journal article
Journal Statistics and Computing
Citation Index SCI
WU-Journal-Rating new FIN-A, VW-D
Language English
Title Transformed density rejection with inflection points
Volume 23
Number 2
Year 2013
Page from 251
Page to 260
URL http://link.springer.com/article/10.1007%2Fs11222-011-9306-4

Associations

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