Example 7.24: Sampling from a pathological distribution

March 1, 2010
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(This article was first published on SAS and R, and kindly contributed to R-bloggers)

Evans and Rosenthal consider ways to sample from a distribution with density given by:f(y) = c e^(-y^4)(1+|y|)^3where c is a normalizing constant and y is defined on the whole real line.Use of the probability integral transform (section 1.10.8) is not feasible in this setting, given the complexity of inverting the cumulative density function.The Metropolis--Hastings algorithm is a Markov Chain

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