New answers tagged monte-carlo
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Proof of Marsaglia polar method
I think there are 2 points to complete above proof.
$\Theta$ of the point uniformly generated in the unit circle is uniform and $\Theta \sim \mathrm{Unif}[0,2\pi]$.
$T$ is independent of $\Theta$.
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Accepted
Proof of Rejection Sampling: Flawed reasoning about continuous random variables
To quote from our book Monte Carlo Statistical Methods, the most straightforward way of validating Accept-Reject sampling is to see it as simulating uniformly on a set $B$ until the simulation belongs ...
- 103k
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Simulating exponential Vasicek/Ornstein-Uhlenbeck
I used the formula from the Wiki page of Ornstein-Uhlenbeck process.
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