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A new rejection sampling method without using hat function

Dai, H (2017) 'A new rejection sampling method without using hat function.' Bernoulli, 23 (4A). pp. 2434-2465. ISSN 1350-7265

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Abstract

This paper proposes a new exact simulation method, which simulates a realisation from a proposal density and then uses exact simulation of a Langevin diffusion to check whether the proposal should be accepted or rejected. Comparing to the existing coupling from the past method, the new method does not require constructing fast coalescence Markov chains. Comparing to the existing rejection sampling method, the new method does not require the proposal density function to bound the target density function. The new method is much more efficient than existing methods for certain problems. An application on exact simulation of the posterior of finite mixture models is presented.

Item Type: Article
Uncontrolled Keywords: conditioned Brownian motion; coupling from the past; diffusion bridges; exact Monte Carlo simulation; Langevin diffusion; mixture models; rejection sampling
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Science and Health
Faculty of Science and Health > Mathematical Sciences, Department of
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 06 Nov 2013 12:11
Last Modified: 15 Jan 2022 00:52
URI: http://repository.essex.ac.uk/id/eprint/8257

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