Generalized Accept-Reject Sampling Schemes
Casella, George; Robert, Christian P.; Wells, Martin T. (2004), Generalized Accept-Reject Sampling Schemes, in Rubin, Herman; DasGupta, Anirban, A Festschrift for Herman Rubin, Institute of Mathematical Statistics : Beachwood (Ohio), p. 342-347. http://dx.doi.org/10.1214/lnms/1196285403
View/ Open
Type
Chapitre d'ouvrageDate
2004Book title
A Festschrift for Herman RubinBook author
Rubin, Herman; DasGupta, AnirbanPublisher
Institute of Mathematical Statistics
Series title
Lecture Notes Monograph SeriesSeries number
45Published in
Beachwood (Ohio)
ISBN
0-940600-61-7
Number of pages
417Pages
342-347
Publication identifier
Metadata
Show full item recordAbstract (EN)
This paper extends the Accept-Reject algorithm to allow the proposal distribution to change at each iteration. We first establish a necessary and sufficient condition for this generalized Accept-Reject algorithm to be valid, and then show how the resulting estimator can be improved by Rao-Blackwellization. An application of these results is to the perfect sampling technique of Fill (1998), An interruptible algorithm for perfect sampling via Markov chains, which is a generalized Accept-Reject algorithm.Subjects / Keywords
Monte Carlo methods; Accept-Reject; stopping rule; recycling; uniform variableRelated items
Showing items related by title and author.
-
Wells, Martin T.; Robert, Christian P.; Casella, George (2001) Document de travail / Working paper
-
Casella, George; Robert, Christian P.; Wells, Martin T. (2004) Article accepté pour publication ou publié
-
Douc, Randal; Guillin, Arnaud; Marin, Jean-Michel; Robert, Christian P. (2007) Article accepté pour publication ou publié
-
Casella, George; Lavine, Michael; Robert, Christian P. (2001) Article accepté pour publication ou publié
-
Casella, George; Mengersen, Kerrie; Robert, Christian P.; Titterington, Mike (2002) Article accepté pour publication ou publié