PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Note on Rejection sampling and exact sampling with the Metropolised Independence Sampler
Iain Murray
(2004) Technical Report. Iain Murray.

Abstract

This short note shows a close relationship between standard rejection sampling and exact sampling by coupling from the past applied to a Metropolised independence sampler. I now know that this idea, first presented as a ten-minute tea-time talk, is probably a duplicate of an unavailable work (Cai 1997), and is closely related to a paper by Jun S. Liu (1996), who provides a much more detailed analysis. Perhaps this exposition will be of interest to some readers.

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EPrint Type:Monograph (Technical Report)
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Theory & Algorithms
ID Code:251
Deposited By:Iain Murray
Deposited On:23 November 2004