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.


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