Resource title

Inverse Transformed Density Rejection for Unbounded Monotone Densities

Resource image

image for OpenScout resource :: Inverse Transformed Density Rejection for Unbounded Monotone Densities

Resource description

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 the tail region, respectively. For the pole region a new method is developed that uses a transformed density rejection hat function of the inverse density. As the order of the pole is calculated in the setup, conditions that guarantee the correctness of the constructed hat functions are provided. Numerical experiments indicate that the new algorithm works correctly and moderately fast for many different unbounded densities. (c) ACM, (2007). This is the author's version of the work. It is posted here by permission of ACM for your personal use. Not for redistribution. (author's abstract) ; Series: Research Report Series / Department of Statistics and Mathematics

Resource author

Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger

Resource publisher

Resource publish date

Resource language

en

Resource content type

application/pdf

Resource resource URL

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

Resource license

Adapt according to the license agreement. Always reference the original source and author.