# Questions tagged [accept-reject]

Use this tag for accept-reject sampling methods. These are also known as rejection sampling methods. These methods sample a random variable from a dominating measure (h) and accepts the draw if an auxiliary random variable (a uniform) is less than the desired measure (g), so accept the draw if u<g. Otherwise draw another pair. You can think of this as sampling on a space with 1 additional dimension where the additional dimension is uniform under g.

23 questions
Filter by
Sorted by
Tagged with
7 views

### Can I control for a variable, post-hoc, using rejection sampling (and bootstrapping)?

Context, Goal: To estimate the quantitative effect of the treatment on a continuous dependent variable, while controlling for another continuous variable. I have one sample each from a test (n=918) ...
33 views

### Escape unsuccessful accept-reject step in MCMC

I have an MCMC procedure that samples latent variables $h_1, \dots, h_T$. It is based on Shephard and Pitt (1997), https://doi.org/10.1093/biomet/84.3.653. Let $f$ be the true conditional posterior ...
25 views

### Does the accepted sample based on the acceptance-rejection algorithm has the same distribution as X~$f(x)$? [duplicate]

In Bayes Statistics, does the accepted sample based on the acceptance-rejection algorithm has the same distribution as X~$f(x)$? Intuitionally it does, but how to prove it under the discrete and ...
23 views

### Accept-Reject algorithm from binomial or other non-uniform distribution

I'm currently researching monte carlo simulations and the different methods. What I'm finding is that methods such as accept-reject typically sample from a uniform distribution and then compare that ...
38 views

### Rejection sampling - total probability of acceptance [closed]

I am given the following pdf $$f(x)=3 x^{2}, \quad 0 \leq x \leq 1$$ which i need to simulate by using rejection sampling. I have used the following code below in R. ...
50 views

### Rejection Sampling when the proposal is a mixture of two distributions

Given a density $f(x; \alpha, 1) = x^{\alpha-1}\exp(-x)/\Gamma(\alpha)$ and a proposal density $q(x) = \alpha_1.q_1(x) + \alpha_2.q_2(x)$ I want to generate random samples using Rejection Sampling ...
32 views

### Integration with accept reject sampling Monte Carlo

I've got a quick question with regards to accept-reject Monte Carlo integration that I can't solve. Suppose I want to integrate some function, $f(x,y)$, with samples of $x, y$ from $p(x,y)$. Now, ...
33 views

41 views

### Acceptance-Rejection using Functional

Setup Let $X\in L^1(\Omega,\mathcal{F},\mathbb{P})$. As far as I've seen, Monte-Carlo methods generate $x_1,\dots,x_n$ from the distribution of $X$ and uses the Glivenko-Cantelli theorem to conclude ...