Automatic Random Variate Generation for Unbounded Densities

Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger

Publikation: Working/Discussion PaperWU Working Paper

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Abstract

A new automatic algorithm for sampling from 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 for the 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 the 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. The proposed algorithm is the first black-box method that works for unbounded densities suggested in the literature. (author's abstract)
OriginalspracheEnglisch
ErscheinungsortVienna
HerausgeberDepartment of Statistics and Mathematics, WU Vienna University of Economics and Business
PublikationsstatusVeröffentlicht - 2006

Publikationsreihe

NameResearch Report Series / Department of Statistics and Mathematics
Nr.44

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WU Working Paper Reihe

  • Research Report Series / Department of Statistics and Mathematics

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