Transformed density rejection with inflection points

  • Authors:

  • Carsten Botts;Wolfgang Hörmann;Josef Leydold

  • Affiliations:

  • The Johns Hopkins University Applied Physics Laboratory, Laurel, USA 20723;Department of Industrial Engineering, Boğaziçi University, Bebek-İstanbul, Turkey 34342;Institute for Statistics and Mathematics, WU (Vienna University of Economics and Business), Wien, Austria 1090

  • Venue:
  • Statistics and Computing
  • Year:
  • 2013

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Abstract

The acceptance-rejection algorithm is often used to sample from non-standard distributions. For this algorithm to be efficient, however, the user has to create a hat function that majorizes and closely matches the density of the distribution to be sampled from. There are many methods for automatically creating such hat functions, but these methods require that the user transforms the density so that she knows the exact location of the transformed density's inflection points. In this paper, we propose an acceptance-rejection algorithm which obviates this need and can thus be used to sample from a larger class of distributions.