Rejection sampling

An algorithm to sample from a distribution

Assumptions:

• Need a bounding distribution that you can sample from easily
• The ratio of the functions is bounded, so
• Define

Algorithm

1. Generate some realization y from
2. Find
3. Sample from
4. If , accept If , reject

The - they are realizations of f

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References

Simulating distribution @rice2007 @lancaster2004 - Chapter 5