Quotation Leydold, Josef. 2017. A Note on Generating Random Variables with T-concave Densities with the Ratio-of-Uniforms Method. 11th International Conference on Monte Carlo Methods and Applications (MCM 2017), Montreal, Canada, 03.07-07.07.


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Abstract

Devroye (2012) proposes an acceptance-rejection algorithm for distributions with given log-concave density f. It requires the exact location of the mode and has a uniformly bounded rejection constant but does not require the normalization constant for f. In this talk we show that the same idea also works for the ratio-of-uniforms method. Thus we get an acceptance-rejection algorithm with uniformly bounded rejection constant that works for the larger class of all T_{-1/2}-concave densities, a generalisation of log-concave densities, that includes unimodal densities with subquadratic tails. The derivation of the algorithm is simpler than the proof by Devroye (2012). Moreover, the method can also be extended to densities where the mode is only known approximately.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title A Note on Generating Random Variables with T-concave Densities with the Ratio-of-Uniforms Method
Event 11th International Conference on Monte Carlo Methods and Applications (MCM 2017)
Year 2017
Date 03.07-07.07
Country Canada
Location Montreal

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People
Leydold, Josef (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
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