Inverse Transformed Density Rejection for Unbounded Monotone Densities

• Main Authors: Hörmann, Wolfgang, Leydold, Josef, Derflinger, Gerhard
• Format: Others
• Language: en
• Published: Department of Statistics and Mathematics, WU Vienna University of Economics and Business 2007
• Subjects: ACM G.3; non-uniform random variates / universal method / black-box algorithm / transformed density rejection / unbounded densities
• Online Access: http://epub.wu.ac.at/1580/1/document.pdf

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