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The Multivariate Ahrens Sampling Method

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The "Ahrens method" is a very simple method for sampling from univariate distributions. It is based on rejection from piecewise constant hat functions. It can be applied analogously to the multivariate case where hat functions are used that are constant on rectangular domains. In this paper we investigate the case of distributions with so called orthounimodal densities. Technical implementation details as well as their practical limitations are discussed. The application to more general distributions is considered. (author's abstract) ; Series: Research Report Series / Department of Statistics and Mathematics

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Roman Karawatzki

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