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Random Variable Generation Using Concavity Properties of Transformed Densities |
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| Authors: | M. Evans T. Swartz |
| Affiliation: | 1. Department of Statistics , University of Toronto , Toronto , Ontario , Canada , M5S 3G3;2. Department of Mathematics and Statistics , Simon Fraser University , Burnaby , British Columbia , Canada , V5A 156 |
| Abstract: | Abstract Algorithms are developed for constructing random variable generators for families of densities. The generators depend on the concavity structure of a transformation of the density. The resulting algorithms are rejection algorithms and the methods of this article are concerned with constructing good rejection algorithms for general densities. |
| Keywords: | Adaptive rejection sampling Points of inflection Random variate generator T-concavity T-convexity |