Resource title

The Automatic Generation of One- and Multi-dimensional Distributions with Transformed Density Rejection

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Resource description

A rejection algorithm, called ``transformed density rejection", is presented. It uses a new method for constructing simple hat functions for a unimodal density $f$. It is based on the idea of transforming $f$ with a suitable transformation $T$ such that $T(f(x))$ is concave. The hat function is then constructed by taking the pointwise minimum of tangents which are transformed back to the original scale. The resulting algorithm works very well for a large class of distributions and is fast. The method is also extended to the two- and multidimensional case. (author's abstract) ; Series: Preprint Series / Department of Applied Statistics and Data Processing

Resource author

Josef Leydold, Wolfgang Hörmann

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Resource language

en

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application/pdf

Resource resource URL

http://epub.wu.ac.at/1328/1/document.pdf

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