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A Note on Transformed Density Rejection

Publication: Working/Discussion Paper › WU Working Paper and Case

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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.
Original languageEnglish
Place of PublicationVienna
PublisherDepartment of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
DOIs
Publication statusPublished - 1999

Publication series

SeriesPreprint Series / Department of Applied Statistics and Data Processing
Number28

WU Working Papes and Cases

  • Preprint Series / Department of Applied Statistics and Data Processing

Access to Document

  • DocumentFinal published version, 215 KBLicence: Unspecified

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