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A Rejection Technique for sampling from T-Concave Distributions (1994)
| Venue: | ACM Transactions on Mathematical Software |
| Citations: | 33 - 8 self |
BibTeX
@ARTICLE{Hörmann94arejection,
author = {Wolfgang Hörmann},
title = {A Rejection Technique for sampling from T-Concave Distributions},
journal = {ACM Transactions on Mathematical Software},
year = {1994},
volume = {21},
pages = {182--193}
}
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Abstract
: A rejection algorithm -- called transformed density rejection -- that uses a new method for constructing simple hat functions for an unimodal, bounded density f is introduced. It is based on the idea to transform f with a suitable transformation T such that T (f(x)) is concave. f is then called T -concave and tangents of T (f(x)) in the mode and in a point on the left and right side are used to construct a hat function with table-mountain shape. It is possible to give conditions for the optimal choice of these points of contact. With T = \Gamma1= p x the method can be used to construct a universal algorithm that is applicable to a large class of unimodal distributions including the normal, beta, gamma and t-distribution. AMS Subject Classification: 65C10, 68C25. CR Categories and Subject Descriptors: G.3 [Probability and Statistics]: Random number generation General Terms: Algorithms Additional Key Words and Phrases: Rejection method, log-concave distributions, universal method 1....
Keyphrases
rejection technique t-concave distribution rejection method table-mountain shape optimal choice right side subject descriptor large class algorithm additional key word am subject classification new method log-concave distribution universal method transformed density rejection hat function rejection algorithm bounded density unimodal distribution suitable transformation cr category random number generation general term universal algorithm
