Posts Tagged ‘ acceptance-rejection ’

Random variable generation (Pt 2 of 3)

December 2, 2010
Random variable generation (Pt 2 of 3)

Acceptance-rejection methods This post is based on chapter 1.4 of Advanced Markov Chain Monte Carlo. Another method of generating random variates from distributions is to use acceptance-rejection methods. Basically to generate a random number from , we generate a RN from an envelope distribution , where .  The acceptance-rejection algorithm is as follows: Repeat until

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