Patchwork rejection algorithms
Let U, R be independent uniform random variables with support [0,1], let f(x) be the density function of the required target distribution and let g(x) be the density of an envelope distribution which belongs to a family of continuous distribution functions G(x). Then \(x=G^{-1}(u)\) generates a random envelope variate. The condition for the acceptance of x as a random target variate is given by \(r\cdot c\cdot g(G^{-1}(u))\leq f(G^{-1}(u))\) where \(c:=\sup \{f(G^{-1}(u))/g(G^{-1}(u)):\) \(u\}<\infty\). Some examples are discussed in the case of a normal distribution for f and for the family of Lomax distributions or Rayleigh distributions or exponential distributions.
- The patchwork rejection technique for sampling from unimodal distributions
- Generating random numbers by adapted rejection
- A note on transformed density rejection
- The transformed rejection method for generating random variables, an alternative to the ratio of uniforms method
- Generating beta variates via patchwork rejection
- Non-uniform random variate generation by the vertical strip method
- Two part envelopes for rejection sampling of some completely random measures
- The patchwork rejection technique for sampling from unimodal distributions
- On a combination method of VDR and patchwork for generating uniform random points on a unit sphere
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