A Universal Generator for Bivariate Log-Concave Distributions

• Main Author: Hörmann, Wolfgang
• Format: Others
• Language: en
• Published: Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business 1995
• Subjects: MSC 65C10; random number generation / rejection method / bivariate log-concave distributions / universal generator
• Online Access: http://epub.wu.ac.at/1044/1/document.pdf

Different universal (also called automatic or black-box) methods have been suggested to sample from univariate log-concave distributions. The description of a universal generator for bivariate distributions has not been published up to now. The new algorithm for bivariate log-concave distributions is based on the method of transformed density rejection. In order to construct a hat function for a rejection algorithm the bivariate density is transformed by the logarithm into a concave function. Then it is possible to construct a dominating function by taking the minimum of several tangent planes which are by exponentiation transformed back into the original scale. The choice of the points of contact is automated using adaptive rejection sampling. This means that a point that is rejected by the rejection algorithm is used as additional point of contact until the maximal number of points of contact is reached. The paper describes the details how this main idea can be used to construct Algorithm ULC2D that can generate random pairs from bivariate log-concave distribution with a computable density. (author's abstract) === Series: Preprint Series / Department of Applied Statistics and Data Processing