Inverse Transformed Density Rejection for Unbounded Monotone Densities

Inverse Transformed Density Rejection for Unbounded Monotone Densities

A new algorithm for sampling from largely abitrary 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...

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Bibliographic Details
Main Authors: Hörmann, Wolfgang, Leydold, Josef, Derflinger, Gerhard
Format: Others
Language:en
Published: Department of Statistics and Mathematics, WU Vienna University of Economics and Business 2007
Subjects:
ACM G.3
non-uniform random variates / universal method / black-box algorithm / transformed density rejection / unbounded densities
Online Access:http://epub.wu.ac.at/1580/1/document.pdf

Internet

http://epub.wu.ac.at/1580/1/document.pdf

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