## Density Approximation and Exact Simulation of Random Variables that are Solutions of Fixed-Point Equations (2002)

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Venue: | Adv. Appl. Probab |

Citations: | 10 - 6 self |

### BibTeX

@ARTICLE{Devroye02densityapproximation,

author = {Luc Devroye and Ralph Neininger},

title = {Density Approximation and Exact Simulation of Random Variables that are Solutions of Fixed-Point Equations},

journal = {Adv. Appl. Probab},

year = {2002},

volume = {34},

pages = {441--468}

}

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### Abstract

An algorithm is developed for the exact simulation from distributions that are defined as fixed-points of maps between spaces of probability measures. The fixed-points of the class of maps under consideration include examples of limit distributions of random variables studied in the probabilistic analysis of algorithms. Approximating sequences for the densities of the fixedpoints with explicit error bounds are constructed. The sampling algorithm relies on a modified rejection method. AMS subject classifications. Primary: 65C10; secondary: 65C05, 68U20, 11K45.