Automatic Random Variate Generation for Unbounded Densities
A new automatic algorithm for sampling from monotone, unbounded densities is presented. The user has to provide a program to evaluate the density and its derivative and the location of the pole. Then the setup of the new algorithm constructs different hat functions for the pole region and for the ta...
| Main Authors: | , , |
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| Format: | Others |
| Language: | en |
| Published: |
Department of Statistics and Mathematics, WU Vienna University of Economics and Business
2006
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| Subjects: | |
| Online Access: | http://epub.wu.ac.at/848/1/document.pdf |