Transformed Density Rejection with Inflection Points

Carsten Botts, Wolfgang Hörmann, Josef Leydold

Publication: Working/Discussion PaperWU Working Paper

Abstract

The acceptance-rejection algorithm is often used to sample from non-standard distributions. For this algorithm to be efficient, however, the user has to create a hat function that majorizes and closely matches the density of the distribution to be sampled from. There are many methods for automatically creating such hat functions, but these methods require that the user transforms the density so that she knows the exact location of the transformed density's inflection points. In this paper, we propose an acceptancerejection algorithm which obviates this need and can thus be used to sample from a larger class of distributions.
Original languageEnglish
Publication statusPublished - 1 Aug 2011

Publication series

NameResearch Report Series / Department of Statistics and Mathematics
No.110

WU Working Paper Series

  • Research Report Series / Department of Statistics and Mathematics

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