ACCEPTANCE-REJECTION SAMPLING MADE EASY

被引：64

作者：

FLURY, BD

机构：

[1] Indiana Univ, , IN

来源：

SIAM REVIEW | 1990年 / 32卷 / 03期

关键词：

D O I：

10.1137/1032082

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A simple proof, consisting of three lemmas, is given for the acceptance-rejection method in Monte Carlo sampling from a density f. The proof is valid for random variables in general dimension, for bounded as well as for unbounded support, and it is not affected by discontinuities or infinite peaks of f.

引用

页码：474 / 476

页数：3