Asymptotically Optimal Design Points for Rejection Algorithms

Gerhard Derflinger, Wolfgang Hörmann

Publication: Working/Discussion PaperWU Working Paper

Abstract

Very fast automatic rejection algorithms were developed recently which allow to generate random variates from large classes of unimodal distributions. They require the choice of several design points which decompose the domain of the distribution into small sub-intervals. The optimal choice of these points is an important but unsolved problem. So we present an approach that allows to characterize optimal design points in the asymptotic case (when their number tends to infinity) under mild regularity conditions. We describe a short algorithm to calculate these asymptotically optimal points in practice. Numerical experiments indicate that they are very close to optimal even when only six or seven design points are calculated. (author's abstract)
Original languageEnglish
Place of PublicationVienna
PublisherDepartment of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
Publication statusPublished - 2005

Publication series

NamePreprint Series / Department of Applied Statistics and Data Processing
No.54

WU Working Paper Series

  • Preprint Series / Department of Applied Statistics and Data Processing

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