rust
swMATH17072CRANrustMaRDI QIDQ28933
Ratio-of-Uniforms Simulation with Transformation
Last update: 2 December 2023
Software version identifier: 1.4.0, 1.0.0, 1.1.0, 1.2.0, 1.2.1, 1.2.2, 1.2.3, 1.3.3, 1.3.4, 1.3.5, 1.3.6, 1.3.7, 1.3.8, 1.3.9, 1.3.10, 1.3.11, 1.3.12, 1.3.13, 1.4.1, 1.4.2
Source code repository: https://github.com/cran/rust
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Uses the generalized ratio-of-uniforms (RU) method to simulate from univariate and (low-dimensional) multivariate continuous distributions. The user specifies the log-density, up to an additive constant. The RU algorithm is applied after relocation of mode of the density to zero, and the user can choose a tuning parameter r. For details see Wakefield, Gelfand and Smith (1991) <doi:10.1007/BF01889987>, Efficient generation of random variates via the ratio-of-uniforms method, Statistics and Computing (1991) 1, 129-133. A Box-Cox variable transformation can be used to make the input density suitable for the RU method and to improve efficiency. In the multivariate case rotation of axes can also be used to improve efficiency. From version 1.2.0 the 'Rcpp' package <https://cran.r-project.org/package=Rcpp> can be used to improve efficiency.
