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Descripción
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| In this work, we investigate the relationship among three classical sampling techniques: the inverse-of-density (a.k.a. Khintchine?s theorem), the transformed rejection sampling (TRS), and the generalized ratio-of-uniforms (GRoU). Given a monotonic probability density function (PDF), we show that the transformed area obtained using the generalized ratio-of-uniforms method can be found equivalently by applying the transformed rejection approach to the inverse function of the target density. Then we provide an extension of the classical inverse-of-density idea, showing that it is completely equivalent to the GRoU method for monotonic densities. We also discuss how the previous results can be extended to a generic PDF, dividing its support domain into a collection of intervals where it is either monotonically increasing or decreasing. Finally, we apply these considerations to design different variants of the GRoU method, introducing, for instance, a novel GRoU strategy to handle unbounded target densities. | |
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Internacional
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Si |
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Nombre congreso
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European Meeting of Statisticians (EMS) |
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Tipo de participación
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960 |
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Lugar del congreso
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Budapest (Hungría) |
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Revisores
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No |
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ISBN o ISSN
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DOI
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Fecha inicio congreso
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20/07/2013 |
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Fecha fin congreso
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25/07/2013 |
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Desde la página
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Hasta la página
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Título de las actas
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Abstracts of the 29-th European Meeting of Statisticians |