A Note on Transformed Density Rejection

Publikation: Working/Discussion PaperWU Working Paper

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Abstract

In this paper we describe a version of transformed density rejection that requires less uniform random numbers. Random variates below the squeeze are generated by inversion. For the expensive part between squeeze and density an algorithm that uses a coverering with triangles is introduced.

Publikationsreihe

ReihePreprint Series / Department of Applied Statistics and Data Processing
Nummer28

WU Working Paper Reihe

  • Preprint Series / Department of Applied Statistics and Data Processing

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