@techreport{84b20557bd154d6aab27e4234ba465ef,

title = "A Rejection Technique for Sampling from T-Concave Distributions",

abstract = "A rejection algorithm - called transformed density rejection - that uses a new method for constructing simple hat functions for an unimodal, bounded density $f$ is introduced. It is based on the idea to transform $f$ with a suitable transformation $T$ such that $T(f(x))$ is concave. $f$ is then called $T$-concave and tangents of $T(f(x))$ in the mode and in a point on the left and right side are used to construct a hat function with table-mountain shape. It is possible to give conditions for the optimal choice of these points of contact. With $T=-1/\sqrt(x)$ the method can be used to construct a universal algorithm that is applicable to a large class of unimodal distributions including the normal, beta, gamma and t-distribution. (author's abstract)",

author = "Wolfgang H{\"o}rmann",

year = "1994",

language = "English",

series = "Preprint Series / Department of Applied Statistics and Data Processing",

publisher = "Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business",

number = "11",

edition = "March 1994",

type = "WorkingPaper",

institution = "Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business",

}