[This article was first published on Xi'an's Og » R, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.
I had an interesting email exchange [or rather exchange of emails] with a (German) reader of Introducing Monte Carlo Methods with R in the past days, as he had difficulties with the validation of the accept-reject algorithm via the integral
in that it took me several iterations [as shown in the above] to realise the issue was with the notation
which seemed to be missing a density term or, in other words, be different from
What is surprising for me is that the integral
has a clear meaning as a Riemann integral, hence should be more intuitive….