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Rejection sampling

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1825: 1135: 4810: 7272:(i.e. segments of one or more exponential distributions, attached end to end). Exponential distributions are well behaved and well understood. The logarithm of an exponential distribution is a straight line, and hence this method essentially involves enclosing the logarithm of the density in a series of line segments. This is the source of the log-concave restriction: if a distribution is log-concave, then its logarithm is concave (shaped like an upside-down U), meaning that a line segment tangent to the curve will always pass over the curve. 1820:{\displaystyle {\begin{aligned}\mathbb {P} \left(U\leq {\frac {f(Y)}{Mg(Y)}}\right)&=\operatorname {E} \mathbf {1} _{\left}\\&=E\left}|Y]\right]&({\text{by tower property }})\\&=\operatorname {E} \left\\&=E\left&({\text{because }}\Pr(U\leq u)=u,{\text{when }}U{\text{ is uniform on }}(0,1))\\&=\int \limits _{y:g(y)>0}{\frac {f(y)}{Mg(y)}}g(y)\,dy\\&={\frac {1}{M}}\int \limits _{y:g(y)>0}f(y)\,dy\\&={\frac {1}{M}}&({\text{since support of }}Y{\text{ includes support of }}X)\end{aligned}}} 5976: 4480: 6409: 5569: 6076: 4805:{\displaystyle {\begin{aligned}\psi _{\theta }(\eta )&=\log \left(\mathbb {E} _{\theta }\exp(\eta X)\right)=\psi (\theta +\eta )-\psi (\theta )<\infty \\\mathbb {E} _{\theta }(X)&=\left.{\frac {\partial \psi _{\theta }(\eta )}{\partial \eta }}\right|_{\eta =0}\\\mathrm {Var} _{\theta }(X)&=\left.{\frac {\partial ^{2}\psi _{\theta }(\eta )}{\partial ^{2}\eta }}\right|_{\eta =0}\end{aligned}}} 3940: 5971:{\displaystyle {\begin{aligned}f_{X|X\geq b}(x)&={\frac {f(x)\mathbb {I} (x\geq b)}{\mathbb {P} (X\geq b)}}\\g_{\theta ^{*}}(x)&=f(x)\exp(\theta ^{*}x-\psi (\theta ^{*}))\\Z(x)&={\frac {f_{X|X\geq b}(x)}{g_{\theta ^{*}}(x)}}={\frac {\exp(-\theta ^{*}x+\psi (\theta ^{*}))\mathbb {I} (x\geq b)}{\mathbb {P} (X\geq b)}}\end{aligned}}} 6404:{\displaystyle M=Z(b)={\frac {\exp(-\theta ^{*}b+\psi (\theta ^{*}))}{\mathbb {P} (X\geq b)}}={\frac {\exp \left(-{\frac {(b-\mu )^{2}}{2\sigma ^{2}}}\right)}{\mathbb {P} (X\geq b)}}={\frac {\exp \left(-{\frac {(b-\mu )^{2}}{2\sigma ^{2}}}\right)}{\mathbb {P} \left(\mathrm {N} (0,1)\geq {\frac {b-\mu }{\sigma }}\right)}}} 92:(PDF) of a random variable onto a large rectangular board and throwing darts at it. Assume that the darts are uniformly distributed around the board. Now remove all of the darts that are outside the area under the curve. The remaining darts will be distributed uniformly within the area under the curve, and the 7477:
Unfortunately, ARS can only be applied for sampling from log-concave target densities. For this reason, several extensions of ARS have been proposed in literature for tackling non-log-concave target distributions. Furthermore, different combinations of ARS and the Metropolis-Hastings method have been
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The method essentially involves successively determining an envelope of straight-line segments that approximates the logarithm better and better while still remaining above the curve, starting with a fixed number of segments (possibly just a single tangent line). Sampling from a truncated exponential
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The visualization just described is equivalent to a particular form of rejection sampling where the "proposal distribution" is uniform. Hence its graph is a rectangle. The general form of rejection sampling assumes that the board is not necessarily rectangular but is shaped according to the density
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This squeezing step is optional, even when suggested by Gilks. At best it saves you from only one extra evaluation of your (messy and/or expensive) target density. However, presumably for particularly expensive density functions (and assuming the rapid convergence of the rejection rate toward zero)
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For many distributions, finding a proposal distribution that includes the given distribution without a lot of wasted space is difficult. An extension of rejection sampling that can be used to overcome this difficulty and efficiently sample from a wide variety of distributions (provided that they
6996:. In addition, as the dimensions of the problem get larger, the ratio of the embedded volume to the "corners" of the embedding volume tends towards zero, thus a lot of rejections can take place before a useful sample is generated, thus making the algorithm inefficient and impractical. See 6987:
Rejection sampling can lead to a lot of unwanted samples being taken if the function being sampled is highly concentrated in a certain region, for example a function that has a spike at some location. For many distributions, this problem can be solved using an adaptive extension (see
5221: 4295: 6976:, among the class of simple distributions, the trick is to use natural exponential family, which helps to gain some control over the complexity and considerably speed up the computation. Indeed, there are deep mathematical reasons for using natural exponential family. 2653:
expression. Rejection sampling is thus more efficient than some other method whenever M times the cost of these operations—which is the expected cost of obtaining a sample with rejection sampling—is lower than the cost of obtaining a sample using the other method.
140:). Its shape must be at least as high at every point as the distribution we want to sample from, so that the former completely encloses the latter. Otherwise, there would be parts of the curved area we want to sample from that could never be reached. 4466: 6920: 1140: 2132: 6571: 6689: 112:‑positions of these darts will be distributed according to the random variable's density. This is because there is the most room for the darts to land where the curve is highest and thus the probability density is greatest. 75:
in one dimension, one can perform a uniformly random sampling of the two-dimensional Cartesian graph, and keep the samples in the region under the graph of its density function. Note that this property can be extended to
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a parametric class of proposal distribution, solves the optimization problems conveniently, with its useful properties that directly characterize the distribution of the proposal. For this type of problem, to simulate
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designed in order to obtain a universal sampler that builds a self-tuning proposal densities (i.e., a proposal automatically constructed and adapted to the target). This class of methods are often called as
5555: 5091: 3365: 4066: 7262:. This therefore reduces the chance that your next attempt will be rejected. Asymptotically, the probability of needing to reject your sample should converge to zero, and in practice, often very rapidly. 4121: 5482: 193:
Sample uniformly along this line from 0 to the maximum of the probability density function. If the sampled value is greater than the value of the desired distribution at this vertical line, reject the
7482:. The resulting adaptive techniques can be always applied but the generated samples are correlated in this case (although the correlation vanishes quickly to zero as the number of iterations grows). 7265:
As proposed, any time we choose a point that is rejected, we tighten the envelope with another line segment that is tangent to the curve at the point with the same x-coordinate as the chosen point.
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This algorithm can be used to sample from the area under any curve, regardless of whether the function integrates to 1. In fact, scaling a function by a constant has no effect on the sampled
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makes sampling difficult. A single iteration of the rejection algorithm requires sampling from the proposal distribution, drawing from a uniform distribution, and evaluating the
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For the above example, as the measurement of the efficiency, the expected number of the iterations the natural exponential family based rejection sampling method is of order
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that we had to evaluate in the current chain of rejections, we can also construct a piecewise linear lower bound (the "squeezing" function) using these values as well.
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closer to 1 is preferred as it implies fewer rejected samples, on average, and thus fewer iterations of the algorithm. In this sense, one prefers to have
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Meyer, Renate; Cai, Bo; Perron, François (2008-03-15). "Adaptive rejection Metropolis sampling using Lagrange interpolation polynomials of degree 2".
6599: 3508:(if it exists), also known as exponential tilting, provides a class of proposal distributions that can lower the computation complexity, the value of 3947: 4899: 2667: 7734: 7623: 7474:
random variable is straightforward. Just take the log of a uniform random variable (with appropriate interval and corresponding truncation).
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Rejection sampling can be far more efficient compared with the naive methods in some situations. For example, given a problem as sampling
5358: 3464:, which could be close to infinity. Moreover, even when you apply the Rejection sampling method, it is always hard to optimize the bound 8030: 5216:{\textstyle \psi _{\theta }(\eta )=\psi (\theta +\eta )-\psi (\theta )=(\mu +\theta \sigma ^{2})\eta +{\frac {\sigma ^{2}\eta ^{2}}{2}}} 5233: 2169: 7543: 5487: 3250: 4018: 7615: 4071: 7018: 5429: 4290:{\displaystyle Z(x)={\frac {f(x)}{g_{\theta }(x)}}={\frac {f(x)}{e^{\theta x-\psi (\theta )}f(x)}}=e^{-\theta x+\psi (\theta )}} 7124:
Often, distributions that have algebraically messy density functions have reasonably simpler log density functions (i.e. when
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If it helps, define your envelope distribution in log space (e.g. log-probability or log-density) instead. That is, work with
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Instead of a single uniform envelope density function, use a piecewise linear density function as your envelope instead.
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Rejection sampling requires knowing the target distribution (specifically, ability to evaluate target PDF at any point).
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is the expected number of the iterations that are needed, as a measure of the computational complexity of the algorithm.
8025: 4335: 3505: 297: 89: 65: 7000:. In high dimensions, it is necessary to use a different approach, typically a Markov chain Monte Carlo method such as 3421: 7857:
Evans, M.; Swartz, T. (1998-12-01). "Random Variable Generation Using Concavity Properties of Transformed Densities".
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We can take even further advantage of the (log) concavity requirement, to potentially avoid the cost of evaluating
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or "accept-reject algorithm" and is a type of exact simulation method. The method works for any distribution in
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Thomas, D. B.; Luk, W. (2007). "Non-uniform random number generation through piecewise linear approximations".
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If not working in log space, a piecewise linear density function can also be sampled via triangle distributions
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It is easy to derive the cumulant-generation function of the proposal and therefore the proposal's cumulants.
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is chosen closer to one, the unconditional acceptance probability is higher the less that ratio varies, since
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The unconditional acceptance probability is the proportion of proposed samples which are accepted, which is
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Just like we can construct a piecewise linear upper bound (the "envelope" function) using the values of
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This means that, with enough replicates, the algorithm generates a sample from the desired distribution
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is the target distribution. Assume for simplicity, the density function can be explicitly written as
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Hörmann, Wolfgang (1995-06-01). "A Rejection Technique for Sampling from T-concave Distributions".
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density functions, which is in fact the case for most of the common distributions—even those whose
7001: 6926: 899: 4969: 4461:{\displaystyle \psi (\theta )=\log \mathbb {E} {\exp(tX)}|_{t=\theta }=\log M_{X}(t)|_{t=\theta }} 2601: 581: 440: 7958: 7884: 7767: 7668: 7506: 5325: 5298: 3162: 3025: 2870: 1096:
algorithms that also use a proxy distribution to achieve simulation from the target distribution
1089: 137: 6915:{\textstyle {\frac {1}{\mathbb {P} (X\geq b)}}=O(b\cdot e^{\frac {(b-\mu )^{2}}{2\sigma ^{2}}})} 2671: 6769: 5019: 4820: 2525: 1902: 773: 738: 535: 7941:; Tan, K. K. C. (1995-01-01). "Adaptive Rejection Metropolis Sampling within Gibbs Sampling". 7919: 7839: 7730: 7707: 7660: 7619: 7539: 7496: 6993: 7641:"Von Neumann's Comparison Method for Random Sampling from the Normal and Other Distributions" 7985: 7950: 7911: 7876: 7831: 7794: 7759: 7699: 7652: 7592: 7574: 7531: 6953: 2663: 7588: 6034: 2314: 1021: 960: 7596: 7584: 6005: 3626: 3100: 2572: 2476: 2447: 1099: 1055: 992: 351: 302: 72: 7032:
There are three basic ideas to this technique as ultimately introduced by Gilks in 1992:
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and speed up the computations (see examples: working with Natural Exponential Families).
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Görür, Dilan; Teh, Yee Whye (2011-01-01). "Concave-Convex Adaptive Rejection Sampling".
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Essentials of Monte Carlo Simulation: Statistical Methods for Building Simulation Models
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A piecewise linear model of the proposal log distribution results in a set of piecewise
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is large and the rejection rate is high, the algorithm can be very inefficient. The
3134: 2127:{\displaystyle M={\frac {1}{\mathbb {P} \left(U\leq {\frac {f(Y)}{Mg(Y)}}\right)}}} 276:
The rejection sampling method generates sampling values from a target distribution
6566:{\displaystyle U\leq {\frac {Z(x)}{M}}=e^{-\theta ^{*}(x-b)}\mathbb {I} (x\geq b)} 808:
The validation of this method is the envelope principle: when simulating the pair
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Gilks, W. R.; Wild, P. (1992). "Adaptive Rejection Sampling for Gibbs Sampling".
6684:{\textstyle X\sim _{i.i.d.}\mathrm {N} (\mu +\theta ^{*}\sigma ^{2},\sigma ^{2})} 7989: 7798: 7938: 7703: 7535: 7923: 7843: 7711: 7664: 7579: 7560: 7915: 7687: 88:
To visualize the motivation behind rejection sampling, imagine graphing the
4959:{\textstyle \psi (\theta )=\mu \theta +{\frac {\sigma ^{2}\theta ^{2}}{2}}} 4008:{\displaystyle \psi (\theta )=\log \left(\mathbb {E} \exp(\theta X)\right)} 7835: 5322:
for the proposal distribution. In this setup, the intuitive way to choose
6810:, while under the naive method, the expected number of the iterations is 7962: 7888: 7771: 7672: 7640: 260:. Thus, the algorithm can be used to sample from a distribution whose 5562:
Explicitly write out the target, the proposal and the likelihood ratio
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may be easier to work with or, at least, closer to piecewise linear).
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if it will be accepted by comparing against the (ideally cheaper)
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The problem is this sampling can be difficult and inefficient, if
1081:. There are a number of extensions to this algorithm, such as the 5283:{\displaystyle \mathrm {N} (\mu +\theta \sigma ^{2},\sigma ^{2})} 2569:
Rejection sampling is most often used in cases where the form of
2232:{\textstyle \mathbb {P} \left(U\leq {\frac {f(Y)}{Mg(Y)}}\right)} 7526:
Casella, George; Robert, Christian P.; Wells, Martin T. (2004).
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Each time you have to reject a sample, you can use the value of
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Rejection sampling is based on the observation that to sample a
5550:{\displaystyle g_{\theta ^{*}}(x)=\mathrm {N} (b,\sigma ^{2})} 3360:{\displaystyle \{X_{1},X_{2},...,X_{N}:X_{i}\in A,i=1,...,N\}} 4061:{\displaystyle \Theta =\{\theta :\psi (\theta )<\infty \}} 116:
of some proposal distribution (not necessarily normalized to
4116:{\displaystyle \{F_{\theta }(\cdot )\}_{\theta \in \Theta }} 2239:
is a probability which can only take values in the interval
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that you evaluated, to improve the piecewise approximation
4730: 4636: 7530:. Institute of Mathematical Statistics. pp. 342–347. 5477:{\displaystyle \theta ^{*}={\frac {b-\mu }{\sigma ^{2}}}.} 3151:
can be easily simulated, using the naive methods (e.g. by
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is a basic technique used to generate observations from a
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here is a constant, finite bound on the likelihood ratio
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Adaptive Rejection Metropolis Sampling (ARMS) algorithms
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this can make a sizable difference in ultimate runtime.
7729:(2013th ed.). New York, NY Heidelberg: Springer. 6816: 6697: 6602: 5094: 4902: 3381: 3165: 3137: 3103: 3028: 2873: 2317: 2172: 2140: 902: 870: 814: 136:) that we know how to sample from (for example, using 7686:
Legault, Geoffrey; Melbourne, Brett A. (2019-03-01).
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in this case) squeezing function that have available.
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Bishop, Christopher (2006). "11.4: Slice sampling".
7083:{\displaystyle h\left(x\right)=\log g\left(x\right)} 4889:{\displaystyle X\sim \mathrm {N} (\mu ,\sigma ^{2})} 7455: 7417: 7375: 7341: 7303: 7254: 7223: 7184: 7147: 7113: 7082: 7025:functions are not concave themselves) is known as 6968: 6942: 6914: 6802: 6758: 6735: 6683: 6588: 6565: 6459: 6403: 6061: 6023: 5994: 5970: 5549: 5476: 5413: 5341: 5314: 5282: 5230:which further implies it is a normal distribution 5215: 5074: 5034: 5008: 4958: 4888: 4838: 4804: 4460: 4326: 4289: 4115: 4060: 4007: 3934: 3644: 3615: 3563: 3520: 3496: 3476: 3456: 3410: 3359: 3237: 3186: 3143: 3123: 3089: 3069: 3049: 3006: 2980: 2957: 2937: 2914: 2864:(the uniform distribution over the unit interval). 2856: 2810: 2790: 2770: 2746: 2726: 2706: 2686: 2645: 2590: 2558: 2514: 2494: 2465: 2436: 2389: 2369: 2349: 2303: 2283: 2263: 2231: 2158: 2126: 2035: 2015: 1995: 1963: 1940: 1920: 1899:each time is generated under the density function 1891: 1871: 1819: 1117: 1073: 1042: 1010: 981: 949: 888: 856: 797: 762: 727: 707: 687: 667: 620: 596: 570: 524: 504: 484: 429: 409: 389: 369: 340: 320: 288: 250: 225: 205: 182: 159: 128: 104: 56: 7904:Journal of Computational and Graphical Statistics 7859:Journal of Computational and Graphical Statistics 3457:{\displaystyle {\frac {1}{\mathbb {P} (X\in A)}}} 1462: 233:‑value is a sample from the desired distribution. 6989: 1546: 1125:. It forms the basis for algorithms such as the 7383:to see if your sample will be accepted, we may 3484:for the likelihood ratio. More often than not, 695:. Note that this requires that the support of 7352:Before evaluating (the potentially expensive) 8011:(Second ed.). New York: Springer-Verlag. 5046:Choose the form of the proposal distribution 3418:. The expected number of iterations would be 2397:as small as possible (while still satisfying 8: 7978:Computational Statistics & Data Analysis 4098: 4075: 4055: 4028: 3532:Rejection sampling using exponential tilting 3354: 3254: 3232: 3201: 3018:Advantages over sampling using naive methods 2522:cannot be equal to 1: such would imply that 2311:is the upper bound for the likelihood ratio 1088:This method relates to the general field of 3194:independently, and accept those satisfying 1971:to obtain an accepted value thus follows a 989:uniformly distributed over the subgraph of 7528:Generalized Accept-Reject sampling schemes 6460:{\displaystyle U\sim \mathrm {Unif} (0,1)} 3616:{\displaystyle F(x)=\mathbb {P} (X\leq x)} 3411:{\textstyle \mathbb {P} (X\in A)\approx 0} 1872:{\displaystyle U\sim \mathrm {Unif} (0,1)} 7870: 7825: 7578: 7436: 7430: 7398: 7392: 7357: 7323: 7285: 7236: 7205: 7160: 7129: 7095: 7041: 6955: 6935: 6899: 6884: 6865: 6824: 6823: 6817: 6815: 6771: 6751: 6704: 6696: 6672: 6659: 6649: 6631: 6610: 6601: 6581: 6544: 6543: 6520: 6512: 6484: 6476: 6428: 6420: 6375: 6352: 6343: 6342: 6326: 6311: 6292: 6275: 6250: 6249: 6233: 6218: 6199: 6182: 6157: 6156: 6142: 6120: 6101: 6078: 6036: 6007: 5987: 5942: 5941: 5920: 5919: 5907: 5885: 5866: 5843: 5838: 5807: 5803: 5796: 5761: 5739: 5690: 5685: 5655: 5654: 5633: 5632: 5617: 5585: 5581: 5573: 5571: 5538: 5520: 5500: 5495: 5489: 5463: 5446: 5437: 5431: 5399: 5368: 5364: 5363: 5360: 5333: 5327: 5306: 5300: 5271: 5258: 5237: 5235: 5201: 5191: 5184: 5169: 5099: 5093: 5057: 5051: 5021: 4976: 4971: 4944: 4934: 4927: 4901: 4877: 4859: 4851: 4822: 4786: 4770: 4749: 4739: 4732: 4706: 4695: 4678: 4648: 4638: 4612: 4608: 4607: 4531: 4527: 4526: 4492: 4484: 4482: 4446: 4441: 4425: 4400: 4395: 4374: 4370: 4369: 4346: 4327:{\displaystyle \psi (\theta )<\infty } 4304: 4260: 4214: 4193: 4172: 4151: 4134: 4101: 4082: 4073: 4020: 3978: 3977: 3949: 3892: 3867: 3841: 3791: 3781: 3773: 3735: 3734: 3692: 3691: 3669: 3661: 3659: 3628: 3594: 3593: 3576: 3541: 3513: 3489: 3469: 3432: 3431: 3425: 3423: 3383: 3382: 3380: 3312: 3299: 3274: 3261: 3252: 3220: 3199: 3164: 3136: 3107: 3102: 3082: 3062: 3027: 2999: 2973: 2950: 2930: 2892: 2872: 2825: 2823: 2803: 2783: 2763: 2739: 2719: 2699: 2679: 2617: 2603: 2574: 2527: 2507: 2478: 2449: 2402: 2382: 2362: 2330: 2316: 2296: 2276: 2244: 2189: 2174: 2173: 2171: 2139: 2081: 2066: 2065: 2059: 2051: 2028: 2008: 1985: 1980: 1956: 1933: 1904: 1884: 1840: 1832: 1802: 1794: 1779: 1762: 1723: 1709: 1692: 1645: 1618: 1581: 1573: 1541: 1497: 1461: 1460: 1425: 1410: 1409: 1380: 1359: 1317: 1305: 1300: 1230: 1218: 1213: 1159: 1144: 1143: 1139: 1137: 1101: 1057: 1023: 994: 962: 921: 901: 869: 813: 775: 740: 720: 700: 680: 633: 613: 583: 551: 537: 517: 497: 456: 442: 422: 402: 382: 353: 333: 304: 281: 243: 218: 198: 175: 152: 121: 97: 48: 44: 43: 40: 7943:Journal of the Royal Statistical Society 7752:Journal of the Royal Statistical Society 7612:Pattern Recognition and Machine Learning 1018:and thus, marginally, a simulation from 7518: 6736:{\textstyle U\sim \mathrm {Unif} (0,1)} 7787:IET Computers & Digital Techniques 5082:, with cumulant-generating function as 3238:{\displaystyle \{n\geq 1:X_{n}\in A\}} 2994:The algorithm will take an average of 213:‑value and return to step 1; else the 6031:, which is a decreasing function for 2674:, obtains a sample from distribution 167:‑axis from the proposal distribution. 143:Rejection sampling works as follows: 7: 7185:{\displaystyle \log f\left(x\right)} 4127:. Moreover, the likelihood ratio is 2857:{\displaystyle \mathrm {Unif} (0,1)} 1951:The number of samples required from 8007:Robert, C. P.; Casella, G. (2004). 7725:Thomopoulos, Nick T. (2012-12-19). 7456:{\displaystyle h_{l}\left(x\right)} 7418:{\displaystyle g_{l}\left(x\right)} 5075:{\displaystyle F_{\theta }(\cdot )} 4817:As a simple example, suppose under 6714: 6711: 6708: 6705: 6632: 6438: 6435: 6432: 6429: 6415:Rejection sampling criterion: for 6353: 6053: 5521: 5484:The proposal distribution is thus 5238: 4998: 4860: 4767: 4736: 4702: 4699: 4696: 4665: 4641: 4599: 4321: 4108: 4052: 4022: 3777: 2835: 2832: 2829: 2826: 2502:in some way. Note, however, that 2166:, due to the above formula, where 2153: 1850: 1847: 1844: 1841: 1398: 1290: 1206: 591: 16:Computational statistics technique 14: 7945:. Series C (Applied Statistics). 7754:. Series C (Applied Statistics). 7027:adaptive rejection sampling (ARS) 6922:, which is far more inefficient. 2662:The algorithm, which was used by 896:. Accepting only pairs such that 628:; in other words, M must satisfy 328:by using a proposal distribution 31:. It is also commonly called the 6596:; if not, continue sampling new 5042:. The analysis goes as follows: 2988:and return to the sampling step. 2714:using samples from distribution 1301: 1214: 57:{\displaystyle \mathbb {R} ^{m}} 8009:Monte Carlo Statistical Methods 7376:{\displaystyle f\left(x\right)} 7342:{\displaystyle h\left(x\right)} 7304:{\displaystyle f\left(x\right)} 7255:{\displaystyle h\left(x\right)} 7224:{\displaystyle f\left(x\right)} 7148:{\displaystyle f\left(x\right)} 7114:{\displaystyle g\left(x\right)} 3564:{\displaystyle X\sim F(\cdot )} 3014:iterations to obtain a sample. 2159:{\textstyle 1\leq M<\infty } 1804: includes support of  857:{\textstyle (x,v=u\cdot Mg(x))} 264:is unknown, which is common in 6909: 6881: 6868: 6852: 6840: 6828: 6797: 6791: 6782: 6776: 6730: 6718: 6678: 6636: 6560: 6548: 6538: 6526: 6496: 6490: 6454: 6442: 6369: 6357: 6308: 6295: 6266: 6254: 6215: 6202: 6173: 6161: 6151: 6148: 6135: 6110: 6095: 6089: 6056: 6044: 6018: 6012: 5958: 5946: 5936: 5924: 5916: 5913: 5900: 5875: 5857: 5851: 5829: 5823: 5808: 5786: 5780: 5770: 5767: 5754: 5732: 5723: 5717: 5704: 5698: 5671: 5659: 5649: 5637: 5629: 5623: 5607: 5601: 5586: 5544: 5525: 5514: 5508: 5380: 5374: 5277: 5242: 5175: 5153: 5147: 5141: 5132: 5120: 5111: 5105: 5069: 5063: 4977: 4912: 4906: 4883: 4864: 4833: 4827: 4761: 4755: 4718: 4712: 4660: 4654: 4624: 4618: 4593: 4587: 4578: 4566: 4552: 4543: 4504: 4498: 4442: 4437: 4431: 4396: 4390: 4381: 4357: 4351: 4315: 4309: 4282: 4276: 4247: 4241: 4233: 4227: 4205: 4199: 4184: 4178: 4163: 4157: 4145: 4139: 4094: 4088: 4046: 4040: 3997: 3988: 3960: 3954: 3925: 3919: 3911: 3905: 3882: 3876: 3853: 3847: 3824: 3818: 3810: 3804: 3751: 3739: 3731: 3728: 3722: 3707: 3681: 3675: 3639: 3633: 3610: 3598: 3587: 3581: 3558: 3552: 3448: 3436: 3399: 3387: 3181: 3175: 3108: 3044: 3038: 2909: 2903: 2889: 2883: 2851: 2839: 2640: 2637: 2631: 2622: 2614: 2608: 2585: 2579: 2553: 2547: 2538: 2532: 2489: 2483: 2460: 2454: 2437:{\displaystyle f(x)\leq Mg(x)} 2431: 2425: 2413: 2407: 2344: 2338: 2327: 2321: 2258: 2246: 2218: 2212: 2201: 2195: 2110: 2104: 2093: 2087: 1915: 1909: 1866: 1854: 1810: 1791: 1759: 1753: 1739: 1733: 1689: 1683: 1674: 1668: 1657: 1651: 1634: 1628: 1601: 1598: 1586: 1561: 1549: 1538: 1526: 1520: 1509: 1503: 1454: 1448: 1437: 1431: 1385: 1377: 1367: 1360: 1346: 1340: 1329: 1323: 1296: 1259: 1253: 1242: 1236: 1188: 1182: 1171: 1165: 1112: 1106: 1068: 1062: 1034: 1028: 1005: 999: 976: 964: 950:{\textstyle u<f(x)/(Mg(x))} 944: 941: 935: 926: 918: 912: 883: 877: 851: 848: 842: 815: 786: 780: 751: 745: 668:{\displaystyle f(x)\leq Mg(x)} 662: 656: 644: 638: 565: 559: 548: 542: 479: 476: 470: 461: 453: 447: 417:and accepting the sample from 364: 358: 315: 309: 1: 7502:Pseudo-random number sampling 1928:of the proposal distribution 170:Draw a vertical line at this 7639:Forsythe, George E. (1972). 5009:{\displaystyle X|X\in \left} 4336:cumulant-generation function 4334:implies that it is indeed a 3187:{\textstyle X\sim F(\cdot )} 3050:{\textstyle X\sim F(\cdot )} 2968:if not, reject the value of 2915:{\textstyle u<f(y)/Mg(y)} 2646:{\displaystyle f(x)/(Mg(x))} 2046:Rewrite the above equation, 715:must include the support of 597:{\displaystyle M<\infty } 512:until a value is accepted. 485:{\displaystyle f(x)/(Mg(x))} 298:probability density function 90:probability density function 7012:Adaptive rejection sampling 6990:adaptive rejection sampling 6576:holds, accept the value of 5342:{\displaystyle \theta ^{*}} 5315:{\displaystyle \theta ^{*}} 2357:. In practice, a value of 492:, repeating the draws from 33:acceptance-rejection method 8047: 8031:Non-uniform random numbers 7990:10.1016/j.csda.2008.01.005 7645:Mathematics of Computation 7492:Inverse transform sampling 4125:natural exponential family 3506:Natural Exponential Family 3153:inverse transform sampling 2473:should generally resemble 19:In numerical analysis and 7704:10.1007/s12080-018-0386-z 7559:Neal, Radford M. (2003). 7270:exponential distributions 6803:{\displaystyle M(b)=O(b)} 6002:for the likelihood ratio 5035:{\displaystyle b>\mu } 4839:{\displaystyle F(\cdot )} 3652:. Choose the proposal as 2559:{\displaystyle f(x)=g(x)} 1921:{\displaystyle g(\cdot )} 1583: is uniform on  798:{\displaystyle f(x)>0} 763:{\displaystyle g(x)>0} 571:{\displaystyle f(x)/g(x)} 397:by instead sampling from 348:with probability density 7799:10.1049/iet-cdt:20060188 4966:. The goal is to sample 3536:Given a random variable 1094:Markov chain Monte Carlo 266:computational statistics 21:computational statistics 7916:10.1198/jcgs.2011.09058 7536:10.1214/lnms/1196285403 6998:curse of dimensionality 5295:Decide the well chosen 3369:truncation (statistics) 2945:as a sample drawn from 1382:by tower property  7814:ACM Trans. Math. Softw 7580:10.1214/aos/1056562461 7457: 7419: 7377: 7343: 7305: 7256: 7225: 7186: 7149: 7115: 7084: 6970: 6969:{\displaystyle X\in A} 6944: 6916: 6804: 6760: 6737: 6685: 6590: 6567: 6461: 6405: 6063: 6025: 5996: 5972: 5551: 5478: 5415: 5343: 5316: 5284: 5217: 5076: 5036: 5010: 4960: 4890: 4840: 4806: 4462: 4328: 4291: 4117: 4062: 4009: 3936: 3646: 3617: 3565: 3522: 3498: 3478: 3458: 3412: 3361: 3239: 3188: 3145: 3125: 3091: 3071: 3051: 3008: 2982: 2959: 2939: 2925:If this holds, accept 2916: 2858: 2812: 2792: 2772: 2748: 2728: 2708: 2688: 2647: 2592: 2560: 2516: 2496: 2467: 2444:, which suggests that 2438: 2391: 2371: 2351: 2350:{\textstyle f(x)/g(x)} 2305: 2285: 2265: 2233: 2160: 2128: 2037: 2017: 1997: 1973:geometric distribution 1965: 1942: 1922: 1893: 1873: 1821: 1796:since support of  1119: 1092:techniques, including 1075: 1044: 1012: 983: 951: 890: 858: 799: 764: 729: 709: 689: 669: 622: 598: 572: 526: 506: 486: 431: 411: 391: 371: 342: 322: 290: 252: 227: 207: 184: 161: 147:Sample a point on the 130: 106: 80:-dimension functions. 58: 7836:10.1145/203082.203089 7458: 7420: 7378: 7344: 7306: 7257: 7226: 7187: 7150: 7116: 7085: 6971: 6945: 6917: 6805: 6761: 6738: 6686: 6591: 6568: 6462: 6406: 6064: 6062:{\displaystyle x\in } 6026: 5997: 5973: 5552: 5479: 5416: 5344: 5317: 5285: 5218: 5077: 5037: 5011: 4961: 4891: 4841: 4807: 4463: 4329: 4292: 4118: 4063: 4010: 3937: 3647: 3618: 3566: 3523: 3499: 3479: 3459: 3413: 3362: 3240: 3189: 3146: 3126: 3124:{\textstyle X|X\in A} 3092: 3072: 3052: 3009: 2983: 2960: 2940: 2917: 2859: 2813: 2793: 2773: 2749: 2729: 2709: 2689: 2648: 2593: 2561: 2517: 2497: 2468: 2439: 2392: 2372: 2352: 2306: 2286: 2266: 2234: 2161: 2129: 2038: 2018: 1998: 1966: 1943: 1923: 1894: 1874: 1822: 1120: 1076: 1045: 1043:{\displaystyle f(x).} 1013: 984: 982:{\displaystyle (x,v)} 952: 891: 859: 800: 765: 730: 710: 690: 670: 623: 599: 573: 527: 507: 487: 432: 412: 392: 372: 343: 323: 291: 253: 228: 208: 185: 162: 131: 107: 59: 7566:Annals of Statistics 7429: 7391: 7356: 7322: 7284: 7235: 7204: 7159: 7128: 7094: 7040: 6954: 6934: 6814: 6770: 6750: 6695: 6600: 6580: 6475: 6419: 6077: 6035: 6024:{\displaystyle Z(x)} 6006: 5986: 5570: 5488: 5430: 5359: 5326: 5299: 5234: 5092: 5050: 5020: 4970: 4900: 4850: 4821: 4481: 4345: 4303: 4133: 4072: 4019: 3948: 3658: 3645:{\displaystyle f(x)} 3627: 3575: 3540: 3512: 3488: 3468: 3422: 3379: 3251: 3198: 3163: 3135: 3101: 3081: 3061: 3026: 2998: 2972: 2949: 2929: 2871: 2822: 2802: 2782: 2762: 2738: 2718: 2698: 2678: 2602: 2591:{\displaystyle f(x)} 2573: 2526: 2506: 2495:{\displaystyle f(x)} 2477: 2466:{\displaystyle g(x)} 2448: 2401: 2381: 2361: 2315: 2295: 2275: 2243: 2170: 2138: 2050: 2027: 2007: 1979: 1955: 1932: 1903: 1883: 1831: 1136: 1127:Metropolis algorithm 1118:{\displaystyle f(x)} 1100: 1083:Metropolis algorithm 1074:{\displaystyle f(x)} 1056: 1022: 1011:{\displaystyle f(x)} 993: 961: 957:then produces pairs 900: 868: 812: 774: 739: 719: 699: 679: 632: 612: 582: 536: 516: 496: 441: 421: 401: 381: 370:{\displaystyle g(x)} 352: 332: 321:{\displaystyle f(x)} 303: 280: 262:normalizing constant 242: 217: 197: 174: 151: 120: 96: 39: 8026:Monte Carlo methods 7692:Theoretical Ecology 7002:Metropolis sampling 6927:exponential tilting 3875: 3786: 1996:{\displaystyle 1/M} 1879:, and the value of 7507:Ziggurat algorithm 7453: 7415: 7373: 7339: 7301: 7252: 7221: 7182: 7145: 7111: 7080: 6966: 6940: 6912: 6800: 6756: 6743:until acceptance. 6733: 6681: 6586: 6563: 6457: 6401: 6059: 6021: 5992: 5968: 5966: 5547: 5474: 5411: 5339: 5312: 5280: 5213: 5072: 5032: 5006: 4956: 4886: 4836: 4802: 4800: 4458: 4324: 4287: 4113: 4058: 4005: 3932: 3930: 3863: 3769: 3642: 3613: 3561: 3518: 3494: 3474: 3454: 3408: 3357: 3235: 3184: 3141: 3121: 3087: 3067: 3047: 3004: 2978: 2955: 2935: 2912: 2854: 2808: 2788: 2778:from distribution 2768: 2744: 2724: 2704: 2684: 2666:and dates back to 2643: 2588: 2556: 2512: 2492: 2463: 2434: 2387: 2367: 2347: 2301: 2281: 2261: 2229: 2156: 2124: 2033: 2013: 1993: 1961: 1938: 1918: 1889: 1869: 1817: 1815: 1749: 1644: 1115: 1071: 1040: 1008: 979: 947: 889:{\textstyle Mg(x)} 886: 854: 795: 760: 725: 705: 685: 675:for all values of 665: 618: 594: 568: 522: 502: 482: 427: 407: 387: 367: 338: 318: 296:with an arbitrary 286: 248: 223: 203: 180: 157: 138:inversion sampling 126: 102: 54: 25:rejection sampling 7736:978-1-4614-6021-3 7625:978-0-387-31073-2 7497:Ratio of uniforms 7311:when your sample 6994:ratio of uniforms 6950:conditionally on 6943:{\displaystyle X} 6906: 6844: 6759:{\displaystyle b} 6589:{\displaystyle X} 6503: 6399: 6391: 6333: 6270: 6240: 6177: 5995:{\displaystyle M} 5982:Derive the bound 5962: 5861: 5675: 5469: 5211: 4954: 4780: 4672: 4251: 4188: 3521:{\displaystyle M} 3497:{\displaystyle M} 3477:{\displaystyle M} 3452: 3090:{\displaystyle A} 3070:{\displaystyle X} 3057:conditionally on 3007:{\displaystyle M} 2981:{\displaystyle y} 2958:{\displaystyle f} 2938:{\displaystyle y} 2811:{\displaystyle u} 2791:{\displaystyle Y} 2771:{\displaystyle y} 2747:{\displaystyle g} 2727:{\displaystyle Y} 2707:{\displaystyle f} 2687:{\displaystyle X} 2515:{\displaystyle M} 2390:{\displaystyle M} 2370:{\displaystyle M} 2304:{\displaystyle M} 2284:{\displaystyle M} 2222: 2122: 2114: 2036:{\displaystyle M} 2016:{\displaystyle M} 2003:, which has mean 1975:with probability 1964:{\displaystyle Y} 1941:{\displaystyle Y} 1892:{\displaystyle y} 1805: 1797: 1787: 1719: 1717: 1678: 1614: 1584: 1576: 1544: 1530: 1458: 1383: 1350: 1263: 1192: 735:—in other words, 728:{\displaystyle X} 708:{\displaystyle Y} 688:{\displaystyle x} 621:{\displaystyle X} 525:{\displaystyle M} 505:{\displaystyle Y} 437:with probability 430:{\displaystyle Y} 410:{\displaystyle Y} 390:{\displaystyle X} 341:{\displaystyle Y} 289:{\displaystyle X} 251:{\displaystyle x} 226:{\displaystyle x} 206:{\displaystyle x} 183:{\displaystyle x} 160:{\displaystyle x} 129:{\displaystyle 1} 105:{\displaystyle x} 8038: 8012: 7994: 7993: 7984:(7): 3408–3423. 7973: 7967: 7966: 7934: 7928: 7927: 7899: 7893: 7892: 7874: 7854: 7848: 7847: 7829: 7809: 7803: 7802: 7782: 7776: 7775: 7747: 7741: 7740: 7722: 7716: 7715: 7683: 7677: 7676: 7651:(120): 817–826. 7636: 7630: 7629: 7607: 7601: 7600: 7582: 7561:"Slice Sampling" 7556: 7550: 7549: 7523: 7462: 7460: 7459: 7454: 7452: 7441: 7440: 7424: 7422: 7421: 7416: 7414: 7403: 7402: 7382: 7380: 7379: 7374: 7372: 7348: 7346: 7345: 7340: 7338: 7310: 7308: 7307: 7302: 7300: 7261: 7259: 7258: 7253: 7251: 7230: 7228: 7227: 7222: 7220: 7191: 7189: 7188: 7183: 7181: 7154: 7152: 7151: 7146: 7144: 7120: 7118: 7117: 7112: 7110: 7089: 7087: 7086: 7081: 7079: 7056: 6975: 6973: 6972: 6967: 6949: 6947: 6946: 6941: 6921: 6919: 6918: 6913: 6908: 6907: 6905: 6904: 6903: 6890: 6889: 6888: 6866: 6845: 6843: 6827: 6818: 6809: 6807: 6806: 6801: 6765: 6763: 6762: 6757: 6742: 6740: 6739: 6734: 6717: 6690: 6688: 6687: 6682: 6677: 6676: 6664: 6663: 6654: 6653: 6635: 6630: 6629: 6595: 6593: 6592: 6587: 6572: 6570: 6569: 6564: 6547: 6542: 6541: 6525: 6524: 6504: 6499: 6485: 6466: 6464: 6463: 6458: 6441: 6410: 6408: 6407: 6402: 6400: 6398: 6397: 6393: 6392: 6387: 6376: 6356: 6346: 6340: 6339: 6335: 6334: 6332: 6331: 6330: 6317: 6316: 6315: 6293: 6276: 6271: 6269: 6253: 6247: 6246: 6242: 6241: 6239: 6238: 6237: 6224: 6223: 6222: 6200: 6183: 6178: 6176: 6160: 6154: 6147: 6146: 6125: 6124: 6102: 6068: 6066: 6065: 6060: 6030: 6028: 6027: 6022: 6001: 5999: 5998: 5993: 5977: 5975: 5974: 5969: 5967: 5963: 5961: 5945: 5939: 5923: 5912: 5911: 5890: 5889: 5867: 5862: 5860: 5850: 5849: 5848: 5847: 5832: 5822: 5821: 5811: 5797: 5766: 5765: 5744: 5743: 5697: 5696: 5695: 5694: 5676: 5674: 5658: 5652: 5636: 5618: 5600: 5599: 5589: 5556: 5554: 5553: 5548: 5543: 5542: 5524: 5507: 5506: 5505: 5504: 5483: 5481: 5480: 5475: 5470: 5468: 5467: 5458: 5447: 5442: 5441: 5420: 5418: 5417: 5412: 5404: 5403: 5373: 5372: 5367: 5348: 5346: 5345: 5340: 5338: 5337: 5321: 5319: 5318: 5313: 5311: 5310: 5289: 5287: 5286: 5281: 5276: 5275: 5263: 5262: 5241: 5222: 5220: 5219: 5214: 5212: 5207: 5206: 5205: 5196: 5195: 5185: 5174: 5173: 5104: 5103: 5081: 5079: 5078: 5073: 5062: 5061: 5041: 5039: 5038: 5033: 5015: 5013: 5012: 5007: 5005: 5001: 4980: 4965: 4963: 4962: 4957: 4955: 4950: 4949: 4948: 4939: 4938: 4928: 4895: 4893: 4892: 4887: 4882: 4881: 4863: 4845: 4843: 4842: 4837: 4811: 4809: 4808: 4803: 4801: 4797: 4796: 4785: 4781: 4779: 4775: 4774: 4764: 4754: 4753: 4744: 4743: 4733: 4711: 4710: 4705: 4689: 4688: 4677: 4673: 4671: 4663: 4653: 4652: 4639: 4617: 4616: 4611: 4559: 4555: 4536: 4535: 4530: 4497: 4496: 4467: 4465: 4464: 4459: 4457: 4456: 4445: 4430: 4429: 4411: 4410: 4399: 4393: 4373: 4333: 4331: 4330: 4325: 4296: 4294: 4293: 4288: 4286: 4285: 4252: 4250: 4237: 4236: 4208: 4194: 4189: 4187: 4177: 4176: 4166: 4152: 4122: 4120: 4119: 4114: 4112: 4111: 4087: 4086: 4067: 4065: 4064: 4059: 4014: 4012: 4011: 4006: 4004: 4000: 3981: 3941: 3939: 3938: 3933: 3931: 3915: 3914: 3871: 3846: 3845: 3814: 3813: 3785: 3780: 3762: 3758: 3754: 3738: 3695: 3674: 3673: 3651: 3649: 3648: 3643: 3622: 3620: 3619: 3614: 3597: 3570: 3568: 3567: 3562: 3527: 3525: 3524: 3519: 3503: 3501: 3500: 3495: 3483: 3481: 3480: 3475: 3463: 3461: 3460: 3455: 3453: 3451: 3435: 3426: 3417: 3415: 3414: 3409: 3386: 3366: 3364: 3363: 3358: 3317: 3316: 3304: 3303: 3279: 3278: 3266: 3265: 3244: 3242: 3241: 3236: 3225: 3224: 3193: 3191: 3190: 3185: 3150: 3148: 3147: 3142: 3130: 3128: 3127: 3122: 3111: 3096: 3094: 3093: 3088: 3076: 3074: 3073: 3068: 3056: 3054: 3053: 3048: 3013: 3011: 3010: 3005: 2987: 2985: 2984: 2979: 2964: 2962: 2961: 2956: 2944: 2942: 2941: 2936: 2921: 2919: 2918: 2913: 2896: 2863: 2861: 2860: 2855: 2838: 2817: 2815: 2814: 2809: 2797: 2795: 2794: 2789: 2777: 2775: 2774: 2769: 2758:Obtain a sample 2753: 2751: 2750: 2745: 2733: 2731: 2730: 2725: 2713: 2711: 2710: 2705: 2693: 2691: 2690: 2685: 2664:John von Neumann 2652: 2650: 2649: 2644: 2621: 2597: 2595: 2594: 2589: 2565: 2563: 2562: 2557: 2521: 2519: 2518: 2513: 2501: 2499: 2498: 2493: 2472: 2470: 2469: 2464: 2443: 2441: 2440: 2435: 2396: 2394: 2393: 2388: 2376: 2374: 2373: 2368: 2356: 2354: 2353: 2348: 2334: 2310: 2308: 2307: 2302: 2290: 2288: 2287: 2282: 2270: 2268: 2267: 2264:{\displaystyle } 2262: 2238: 2236: 2235: 2230: 2228: 2224: 2223: 2221: 2204: 2190: 2177: 2165: 2163: 2162: 2157: 2133: 2131: 2130: 2125: 2123: 2121: 2120: 2116: 2115: 2113: 2096: 2082: 2069: 2060: 2042: 2040: 2039: 2034: 2023:. Intuitively, 2022: 2020: 2019: 2014: 2002: 2000: 1999: 1994: 1989: 1970: 1968: 1967: 1962: 1947: 1945: 1944: 1939: 1927: 1925: 1924: 1919: 1898: 1896: 1895: 1890: 1878: 1876: 1875: 1870: 1853: 1826: 1824: 1823: 1818: 1816: 1806: 1803: 1798: 1795: 1788: 1780: 1772: 1748: 1718: 1710: 1702: 1679: 1677: 1660: 1646: 1643: 1607: 1585: 1582: 1577: 1574: 1545: 1542: 1535: 1531: 1529: 1512: 1498: 1483: 1479: 1475: 1474: 1470: 1466: 1465: 1459: 1457: 1440: 1426: 1413: 1391: 1384: 1381: 1374: 1370: 1363: 1358: 1357: 1356: 1352: 1351: 1349: 1332: 1318: 1304: 1275: 1271: 1270: 1269: 1265: 1264: 1262: 1245: 1231: 1217: 1198: 1194: 1193: 1191: 1174: 1160: 1147: 1124: 1122: 1121: 1116: 1080: 1078: 1077: 1072: 1049: 1047: 1046: 1041: 1017: 1015: 1014: 1009: 988: 986: 985: 980: 956: 954: 953: 948: 925: 895: 893: 892: 887: 863: 861: 860: 855: 804: 802: 801: 796: 769: 767: 766: 761: 734: 732: 731: 726: 714: 712: 711: 706: 694: 692: 691: 686: 674: 672: 671: 666: 627: 625: 624: 619: 603: 601: 600: 595: 577: 575: 574: 569: 555: 531: 529: 528: 523: 511: 509: 508: 503: 491: 489: 488: 483: 460: 436: 434: 433: 428: 416: 414: 413: 408: 396: 394: 393: 388: 376: 374: 373: 368: 347: 345: 344: 339: 327: 325: 324: 319: 295: 293: 292: 287: 259: 257: 255: 254: 249: 232: 230: 229: 224: 212: 210: 209: 204: 189: 187: 186: 181: 166: 164: 163: 158: 135: 133: 132: 127: 111: 109: 108: 103: 63: 61: 60: 55: 53: 52: 47: 8046: 8045: 8041: 8040: 8039: 8037: 8036: 8035: 8016: 8015: 8006: 8003: 8001:Further reading 7998: 7997: 7975: 7974: 7970: 7955:10.2307/2986138 7936: 7935: 7931: 7901: 7900: 7896: 7881:10.2307/1390680 7856: 7855: 7851: 7811: 7810: 7806: 7784: 7783: 7779: 7764:10.2307/2347565 7749: 7748: 7744: 7737: 7724: 7723: 7719: 7685: 7684: 7680: 7657:10.2307/2005864 7638: 7637: 7633: 7626: 7609: 7608: 7604: 7558: 7557: 7553: 7546: 7525: 7524: 7520: 7515: 7488: 7442: 7432: 7427: 7426: 7404: 7394: 7389: 7388: 7362: 7354: 7353: 7328: 7320: 7319: 7290: 7282: 7281: 7241: 7233: 7232: 7210: 7202: 7201: 7171: 7157: 7156: 7134: 7126: 7125: 7100: 7092: 7091: 7069: 7046: 7038: 7037: 7014: 6982: 6952: 6951: 6932: 6931: 6895: 6891: 6880: 6867: 6861: 6822: 6812: 6811: 6768: 6767: 6748: 6747: 6693: 6692: 6668: 6655: 6645: 6606: 6598: 6597: 6578: 6577: 6516: 6508: 6486: 6473: 6472: 6417: 6416: 6377: 6351: 6347: 6341: 6322: 6318: 6307: 6294: 6288: 6284: 6277: 6248: 6229: 6225: 6214: 6201: 6195: 6191: 6184: 6155: 6138: 6116: 6103: 6075: 6074: 6033: 6032: 6004: 6003: 5984: 5983: 5965: 5964: 5940: 5903: 5881: 5868: 5839: 5834: 5833: 5799: 5798: 5789: 5774: 5773: 5757: 5735: 5707: 5686: 5681: 5678: 5677: 5653: 5619: 5610: 5577: 5568: 5567: 5534: 5496: 5491: 5486: 5485: 5459: 5448: 5433: 5428: 5427: 5395: 5362: 5357: 5356: 5329: 5324: 5323: 5302: 5297: 5296: 5267: 5254: 5232: 5231: 5197: 5187: 5186: 5165: 5095: 5090: 5089: 5053: 5048: 5047: 5018: 5017: 4991: 4987: 4968: 4967: 4940: 4930: 4929: 4898: 4897: 4873: 4848: 4847: 4819: 4818: 4799: 4798: 4766: 4765: 4745: 4735: 4734: 4729: 4728: 4721: 4694: 4691: 4690: 4664: 4644: 4640: 4635: 4634: 4627: 4606: 4603: 4602: 4525: 4524: 4520: 4507: 4488: 4479: 4478: 4440: 4421: 4394: 4343: 4342: 4301: 4300: 4256: 4210: 4209: 4195: 4168: 4167: 4153: 4131: 4130: 4097: 4078: 4070: 4069: 4017: 4016: 3976: 3972: 3946: 3945: 3929: 3928: 3888: 3856: 3837: 3834: 3833: 3787: 3760: 3759: 3700: 3696: 3684: 3665: 3656: 3655: 3625: 3624: 3573: 3572: 3538: 3537: 3534: 3510: 3509: 3486: 3485: 3466: 3465: 3430: 3420: 3419: 3377: 3376: 3308: 3295: 3270: 3257: 3249: 3248: 3216: 3196: 3195: 3161: 3160: 3133: 3132: 3099: 3098: 3079: 3078: 3059: 3058: 3024: 3023: 3020: 2996: 2995: 2970: 2969: 2947: 2946: 2927: 2926: 2869: 2868: 2820: 2819: 2800: 2799: 2780: 2779: 2760: 2759: 2736: 2735: 2716: 2715: 2696: 2695: 2676: 2675: 2660: 2600: 2599: 2571: 2570: 2524: 2523: 2504: 2503: 2475: 2474: 2446: 2445: 2399: 2398: 2379: 2378: 2359: 2358: 2313: 2312: 2293: 2292: 2273: 2272: 2241: 2240: 2205: 2191: 2182: 2178: 2168: 2167: 2136: 2135: 2097: 2083: 2074: 2070: 2064: 2048: 2047: 2025: 2024: 2005: 2004: 1977: 1976: 1953: 1952: 1930: 1929: 1901: 1900: 1881: 1880: 1829: 1828: 1814: 1813: 1789: 1770: 1769: 1700: 1699: 1661: 1647: 1605: 1604: 1536: 1513: 1499: 1493: 1481: 1480: 1441: 1427: 1418: 1414: 1408: 1404: 1389: 1388: 1375: 1333: 1319: 1310: 1306: 1299: 1289: 1285: 1273: 1272: 1246: 1232: 1223: 1219: 1212: 1199: 1175: 1161: 1152: 1148: 1134: 1133: 1098: 1097: 1054: 1053: 1020: 1019: 991: 990: 959: 958: 898: 897: 866: 865: 810: 809: 772: 771: 737: 736: 717: 716: 697: 696: 677: 676: 630: 629: 610: 609: 580: 579: 534: 533: 514: 513: 494: 493: 439: 438: 419: 418: 399: 398: 379: 378: 350: 349: 330: 329: 301: 300: 278: 277: 274: 240: 239: 238: 215: 214: 195: 194: 172: 171: 149: 148: 118: 117: 94: 93: 86: 73:random variable 42: 37: 36: 17: 12: 11: 5: 8044: 8042: 8034: 8033: 8028: 8018: 8017: 8014: 8013: 8002: 7999: 7996: 7995: 7968: 7949:(4): 455–472. 7937:Gilks, W. R.; 7929: 7910:(3): 670–691. 7894: 7872:10.1.1.53.9001 7865:(4): 514–528. 7849: 7827:10.1.1.56.6055 7820:(2): 182–193. 7804: 7793:(4): 312–321. 7777: 7758:(2): 337–348. 7742: 7735: 7717: 7678: 7631: 7624: 7602: 7573:(3): 705–767. 7551: 7544: 7517: 7516: 7514: 7511: 7510: 7509: 7504: 7499: 7494: 7487: 7484: 7471: 7470: 7469: 7468: 7464: 7451: 7448: 7445: 7439: 7435: 7413: 7410: 7407: 7401: 7397: 7371: 7368: 7365: 7361: 7350: 7337: 7334: 7331: 7327: 7299: 7296: 7293: 7289: 7278: 7277: 7276: 7273: 7266: 7263: 7250: 7247: 7244: 7240: 7219: 7216: 7213: 7209: 7195: 7194: 7193: 7180: 7177: 7174: 7170: 7167: 7164: 7143: 7140: 7137: 7133: 7109: 7106: 7103: 7099: 7078: 7075: 7072: 7068: 7065: 7062: 7059: 7055: 7052: 7049: 7045: 7013: 7010: 7006:Gibbs sampling 6981: 6978: 6965: 6962: 6959: 6939: 6911: 6902: 6898: 6894: 6887: 6883: 6879: 6876: 6873: 6870: 6864: 6860: 6857: 6854: 6851: 6848: 6842: 6839: 6836: 6833: 6830: 6826: 6821: 6799: 6796: 6793: 6790: 6787: 6784: 6781: 6778: 6775: 6755: 6732: 6729: 6726: 6723: 6720: 6716: 6713: 6710: 6707: 6703: 6700: 6680: 6675: 6671: 6667: 6662: 6658: 6652: 6648: 6644: 6641: 6638: 6634: 6628: 6625: 6622: 6619: 6616: 6613: 6609: 6605: 6585: 6574: 6573: 6562: 6559: 6556: 6553: 6550: 6546: 6540: 6537: 6534: 6531: 6528: 6523: 6519: 6515: 6511: 6507: 6502: 6498: 6495: 6492: 6489: 6483: 6480: 6469: 6468: 6456: 6453: 6450: 6447: 6444: 6440: 6437: 6434: 6431: 6427: 6424: 6412: 6411: 6396: 6390: 6386: 6383: 6380: 6374: 6371: 6368: 6365: 6362: 6359: 6355: 6350: 6345: 6338: 6329: 6325: 6321: 6314: 6310: 6306: 6303: 6300: 6297: 6291: 6287: 6283: 6280: 6274: 6268: 6265: 6262: 6259: 6256: 6252: 6245: 6236: 6232: 6228: 6221: 6217: 6213: 6210: 6207: 6204: 6198: 6194: 6190: 6187: 6181: 6175: 6172: 6169: 6166: 6163: 6159: 6153: 6150: 6145: 6141: 6137: 6134: 6131: 6128: 6123: 6119: 6115: 6112: 6109: 6106: 6100: 6097: 6094: 6091: 6088: 6085: 6082: 6071: 6070: 6058: 6055: 6052: 6049: 6046: 6043: 6040: 6020: 6017: 6014: 6011: 5991: 5979: 5978: 5960: 5957: 5954: 5951: 5948: 5944: 5938: 5935: 5932: 5929: 5926: 5922: 5918: 5915: 5910: 5906: 5902: 5899: 5896: 5893: 5888: 5884: 5880: 5877: 5874: 5871: 5865: 5859: 5856: 5853: 5846: 5842: 5837: 5831: 5828: 5825: 5820: 5817: 5814: 5810: 5806: 5802: 5795: 5792: 5790: 5788: 5785: 5782: 5779: 5776: 5775: 5772: 5769: 5764: 5760: 5756: 5753: 5750: 5747: 5742: 5738: 5734: 5731: 5728: 5725: 5722: 5719: 5716: 5713: 5710: 5708: 5706: 5703: 5700: 5693: 5689: 5684: 5680: 5679: 5673: 5670: 5667: 5664: 5661: 5657: 5651: 5648: 5645: 5642: 5639: 5635: 5631: 5628: 5625: 5622: 5616: 5613: 5611: 5609: 5606: 5603: 5598: 5595: 5592: 5588: 5584: 5580: 5576: 5575: 5564: 5563: 5559: 5558: 5546: 5541: 5537: 5533: 5530: 5527: 5523: 5519: 5516: 5513: 5510: 5503: 5499: 5494: 5473: 5466: 5462: 5457: 5454: 5451: 5445: 5440: 5436: 5424: 5423: 5422: 5410: 5407: 5402: 5398: 5394: 5391: 5388: 5385: 5382: 5379: 5376: 5371: 5366: 5351: 5350: 5336: 5332: 5309: 5305: 5292: 5291: 5279: 5274: 5270: 5266: 5261: 5257: 5253: 5250: 5247: 5244: 5240: 5227: 5226: 5225: 5224: 5210: 5204: 5200: 5194: 5190: 5183: 5180: 5177: 5172: 5168: 5164: 5161: 5158: 5155: 5152: 5149: 5146: 5143: 5140: 5137: 5134: 5131: 5128: 5125: 5122: 5119: 5116: 5113: 5110: 5107: 5102: 5098: 5084: 5083: 5071: 5068: 5065: 5060: 5056: 5031: 5028: 5025: 5004: 5000: 4997: 4994: 4990: 4986: 4983: 4979: 4975: 4953: 4947: 4943: 4937: 4933: 4926: 4923: 4920: 4917: 4914: 4911: 4908: 4905: 4885: 4880: 4876: 4872: 4869: 4866: 4862: 4858: 4855: 4835: 4832: 4829: 4826: 4815: 4814: 4813: 4812: 4795: 4792: 4789: 4784: 4778: 4773: 4769: 4763: 4760: 4757: 4752: 4748: 4742: 4738: 4731: 4727: 4724: 4722: 4720: 4717: 4714: 4709: 4704: 4701: 4698: 4693: 4692: 4687: 4684: 4681: 4676: 4670: 4667: 4662: 4659: 4656: 4651: 4647: 4643: 4637: 4633: 4630: 4628: 4626: 4623: 4620: 4615: 4610: 4605: 4604: 4601: 4598: 4595: 4592: 4589: 4586: 4583: 4580: 4577: 4574: 4571: 4568: 4565: 4562: 4558: 4554: 4551: 4548: 4545: 4542: 4539: 4534: 4529: 4523: 4519: 4516: 4513: 4510: 4508: 4506: 4503: 4500: 4495: 4491: 4487: 4486: 4470: 4469: 4455: 4452: 4449: 4444: 4439: 4436: 4433: 4428: 4424: 4420: 4417: 4414: 4409: 4406: 4403: 4398: 4392: 4389: 4386: 4383: 4380: 4377: 4372: 4368: 4365: 4362: 4359: 4356: 4353: 4350: 4323: 4320: 4317: 4314: 4311: 4308: 4284: 4281: 4278: 4275: 4272: 4269: 4266: 4263: 4259: 4255: 4249: 4246: 4243: 4240: 4235: 4232: 4229: 4226: 4223: 4220: 4217: 4213: 4207: 4204: 4201: 4198: 4192: 4186: 4183: 4180: 4175: 4171: 4165: 4162: 4159: 4156: 4150: 4147: 4144: 4141: 4138: 4110: 4107: 4104: 4100: 4096: 4093: 4090: 4085: 4081: 4077: 4057: 4054: 4051: 4048: 4045: 4042: 4039: 4036: 4033: 4030: 4027: 4024: 4003: 3999: 3996: 3993: 3990: 3987: 3984: 3980: 3975: 3971: 3968: 3965: 3962: 3959: 3956: 3953: 3927: 3924: 3921: 3918: 3913: 3910: 3907: 3904: 3901: 3898: 3895: 3891: 3887: 3884: 3881: 3878: 3874: 3870: 3866: 3862: 3859: 3857: 3855: 3852: 3849: 3844: 3840: 3836: 3835: 3832: 3829: 3826: 3823: 3820: 3817: 3812: 3809: 3806: 3803: 3800: 3797: 3794: 3790: 3784: 3779: 3776: 3772: 3768: 3765: 3763: 3761: 3757: 3753: 3750: 3747: 3744: 3741: 3737: 3733: 3730: 3727: 3724: 3721: 3718: 3715: 3712: 3709: 3706: 3703: 3699: 3694: 3690: 3687: 3685: 3683: 3680: 3677: 3672: 3668: 3664: 3663: 3641: 3638: 3635: 3632: 3612: 3609: 3606: 3603: 3600: 3596: 3592: 3589: 3586: 3583: 3580: 3560: 3557: 3554: 3551: 3548: 3545: 3533: 3530: 3517: 3493: 3473: 3450: 3447: 3444: 3441: 3438: 3434: 3429: 3407: 3404: 3401: 3398: 3395: 3392: 3389: 3385: 3373: 3372: 3356: 3353: 3350: 3347: 3344: 3341: 3338: 3335: 3332: 3329: 3326: 3323: 3320: 3315: 3311: 3307: 3302: 3298: 3294: 3291: 3288: 3285: 3282: 3277: 3273: 3269: 3264: 3260: 3256: 3245: 3234: 3231: 3228: 3223: 3219: 3215: 3212: 3209: 3206: 3203: 3183: 3180: 3177: 3174: 3171: 3168: 3144:{\textstyle X} 3140: 3120: 3117: 3114: 3110: 3106: 3086: 3077:given the set 3066: 3046: 3043: 3040: 3037: 3034: 3031: 3019: 3016: 3003: 2992: 2991: 2990: 2989: 2977: 2966: 2954: 2934: 2911: 2908: 2905: 2902: 2899: 2895: 2891: 2888: 2885: 2882: 2879: 2876: 2865: 2853: 2850: 2847: 2844: 2841: 2837: 2834: 2831: 2828: 2807: 2787: 2767: 2743: 2723: 2703: 2683: 2659: 2656: 2642: 2639: 2636: 2633: 2630: 2627: 2624: 2620: 2616: 2613: 2610: 2607: 2587: 2584: 2581: 2578: 2555: 2552: 2549: 2546: 2543: 2540: 2537: 2534: 2531: 2511: 2491: 2488: 2485: 2482: 2462: 2459: 2456: 2453: 2433: 2430: 2427: 2424: 2421: 2418: 2415: 2412: 2409: 2406: 2386: 2366: 2346: 2343: 2340: 2337: 2333: 2329: 2326: 2323: 2320: 2300: 2280: 2260: 2257: 2254: 2251: 2248: 2227: 2220: 2217: 2214: 2211: 2208: 2203: 2200: 2197: 2194: 2188: 2185: 2181: 2176: 2155: 2152: 2149: 2146: 2143: 2119: 2112: 2109: 2106: 2103: 2100: 2095: 2092: 2089: 2086: 2080: 2077: 2073: 2068: 2063: 2058: 2055: 2032: 2012: 1992: 1988: 1984: 1960: 1937: 1917: 1914: 1911: 1908: 1888: 1868: 1865: 1862: 1859: 1856: 1852: 1849: 1846: 1843: 1839: 1836: 1812: 1809: 1801: 1793: 1790: 1786: 1783: 1778: 1775: 1773: 1771: 1768: 1765: 1761: 1758: 1755: 1752: 1747: 1744: 1741: 1738: 1735: 1732: 1729: 1726: 1722: 1716: 1713: 1708: 1705: 1703: 1701: 1698: 1695: 1691: 1688: 1685: 1682: 1676: 1673: 1670: 1667: 1664: 1659: 1656: 1653: 1650: 1642: 1639: 1636: 1633: 1630: 1627: 1624: 1621: 1617: 1613: 1610: 1608: 1606: 1603: 1600: 1597: 1594: 1591: 1588: 1580: 1572: 1569: 1566: 1563: 1560: 1557: 1554: 1551: 1548: 1540: 1537: 1534: 1528: 1525: 1522: 1519: 1516: 1511: 1508: 1505: 1502: 1496: 1492: 1489: 1486: 1484: 1482: 1478: 1473: 1469: 1464: 1456: 1453: 1450: 1447: 1444: 1439: 1436: 1433: 1430: 1424: 1421: 1417: 1412: 1407: 1403: 1400: 1397: 1394: 1392: 1390: 1387: 1379: 1376: 1373: 1369: 1366: 1362: 1355: 1348: 1345: 1342: 1339: 1336: 1331: 1328: 1325: 1322: 1316: 1313: 1309: 1303: 1298: 1295: 1292: 1288: 1284: 1281: 1278: 1276: 1274: 1268: 1261: 1258: 1255: 1252: 1249: 1244: 1241: 1238: 1235: 1229: 1226: 1222: 1216: 1211: 1208: 1205: 1202: 1200: 1197: 1190: 1187: 1184: 1181: 1178: 1173: 1170: 1167: 1164: 1158: 1155: 1151: 1146: 1142: 1141: 1114: 1111: 1108: 1105: 1070: 1067: 1064: 1061: 1039: 1036: 1033: 1030: 1027: 1007: 1004: 1001: 998: 978: 975: 972: 969: 966: 946: 943: 940: 937: 934: 931: 928: 924: 920: 917: 914: 911: 908: 905: 885: 882: 879: 876: 873: 853: 850: 847: 844: 841: 838: 835: 832: 829: 826: 823: 820: 817: 794: 791: 788: 785: 782: 779: 759: 756: 753: 750: 747: 744: 724: 704: 684: 664: 661: 658: 655: 652: 649: 646: 643: 640: 637: 617: 593: 590: 587: 567: 564: 561: 558: 554: 550: 547: 544: 541: 521: 501: 481: 478: 475: 472: 469: 466: 463: 459: 455: 452: 449: 446: 426: 406: 386: 366: 363: 360: 357: 337: 317: 314: 311: 308: 285: 273: 270: 247: 235: 234: 222: 202: 191: 179: 168: 156: 125: 101: 85: 82: 51: 46: 15: 13: 10: 9: 6: 4: 3: 2: 8043: 8032: 8029: 8027: 8024: 8023: 8021: 8010: 8005: 8004: 8000: 7991: 7987: 7983: 7979: 7972: 7969: 7964: 7960: 7956: 7952: 7948: 7944: 7940: 7933: 7930: 7925: 7921: 7917: 7913: 7909: 7905: 7898: 7895: 7890: 7886: 7882: 7878: 7873: 7868: 7864: 7860: 7853: 7850: 7845: 7841: 7837: 7833: 7828: 7823: 7819: 7815: 7808: 7805: 7800: 7796: 7792: 7788: 7781: 7778: 7773: 7769: 7765: 7761: 7757: 7753: 7746: 7743: 7738: 7732: 7728: 7721: 7718: 7713: 7709: 7705: 7701: 7697: 7693: 7689: 7682: 7679: 7674: 7670: 7666: 7662: 7658: 7654: 7650: 7646: 7642: 7635: 7632: 7627: 7621: 7617: 7613: 7606: 7603: 7598: 7594: 7590: 7586: 7581: 7576: 7572: 7568: 7567: 7562: 7555: 7552: 7547: 7545:9780940600614 7541: 7537: 7533: 7529: 7522: 7519: 7512: 7508: 7505: 7503: 7500: 7498: 7495: 7493: 7490: 7489: 7485: 7483: 7481: 7475: 7465: 7449: 7446: 7443: 7437: 7433: 7411: 7408: 7405: 7399: 7395: 7386: 7369: 7366: 7363: 7359: 7351: 7335: 7332: 7329: 7325: 7317: 7316: 7314: 7297: 7294: 7291: 7287: 7279: 7274: 7271: 7267: 7264: 7248: 7245: 7242: 7238: 7217: 7214: 7211: 7207: 7199: 7198: 7196: 7178: 7175: 7172: 7168: 7165: 7162: 7141: 7138: 7135: 7131: 7123: 7122: 7107: 7104: 7101: 7097: 7076: 7073: 7070: 7066: 7063: 7060: 7057: 7053: 7050: 7047: 7043: 7035: 7034: 7033: 7030: 7028: 7024: 7020: 7011: 7009: 7007: 7003: 6999: 6995: 6991: 6985: 6979: 6977: 6963: 6960: 6957: 6937: 6928: 6923: 6900: 6896: 6892: 6885: 6877: 6874: 6871: 6862: 6858: 6855: 6849: 6846: 6837: 6834: 6831: 6819: 6794: 6788: 6785: 6779: 6773: 6753: 6744: 6727: 6724: 6721: 6701: 6698: 6673: 6669: 6665: 6660: 6656: 6650: 6646: 6642: 6639: 6626: 6623: 6620: 6617: 6614: 6611: 6607: 6603: 6583: 6557: 6554: 6551: 6535: 6532: 6529: 6521: 6517: 6513: 6509: 6505: 6500: 6493: 6487: 6481: 6478: 6471: 6470: 6451: 6448: 6445: 6425: 6422: 6414: 6413: 6394: 6388: 6384: 6381: 6378: 6372: 6366: 6363: 6360: 6348: 6336: 6327: 6323: 6319: 6312: 6304: 6301: 6298: 6289: 6285: 6281: 6278: 6272: 6263: 6260: 6257: 6243: 6234: 6230: 6226: 6219: 6211: 6208: 6205: 6196: 6192: 6188: 6185: 6179: 6170: 6167: 6164: 6143: 6139: 6132: 6129: 6126: 6121: 6117: 6113: 6107: 6104: 6098: 6092: 6086: 6083: 6080: 6073: 6072: 6050: 6047: 6041: 6038: 6015: 6009: 5989: 5981: 5980: 5955: 5952: 5949: 5933: 5930: 5927: 5908: 5904: 5897: 5894: 5891: 5886: 5882: 5878: 5872: 5869: 5863: 5854: 5844: 5840: 5835: 5826: 5818: 5815: 5812: 5804: 5800: 5793: 5791: 5783: 5777: 5762: 5758: 5751: 5748: 5745: 5740: 5736: 5729: 5726: 5720: 5714: 5711: 5709: 5701: 5691: 5687: 5682: 5668: 5665: 5662: 5646: 5643: 5640: 5626: 5620: 5614: 5612: 5604: 5596: 5593: 5590: 5582: 5578: 5566: 5565: 5561: 5560: 5539: 5535: 5531: 5528: 5517: 5511: 5501: 5497: 5492: 5471: 5464: 5460: 5455: 5452: 5449: 5443: 5438: 5434: 5425: 5408: 5405: 5400: 5396: 5392: 5389: 5386: 5383: 5377: 5369: 5355: 5354: 5353: 5352: 5334: 5330: 5307: 5303: 5294: 5293: 5272: 5268: 5264: 5259: 5255: 5251: 5248: 5245: 5229: 5228: 5208: 5202: 5198: 5192: 5188: 5181: 5178: 5170: 5166: 5162: 5159: 5156: 5150: 5144: 5138: 5135: 5129: 5126: 5123: 5117: 5114: 5108: 5100: 5096: 5088: 5087: 5086: 5085: 5066: 5058: 5054: 5045: 5044: 5043: 5029: 5026: 5023: 5002: 4995: 4992: 4988: 4984: 4981: 4973: 4951: 4945: 4941: 4935: 4931: 4924: 4921: 4918: 4915: 4909: 4903: 4878: 4874: 4870: 4867: 4856: 4853: 4830: 4824: 4793: 4790: 4787: 4782: 4776: 4771: 4758: 4750: 4746: 4740: 4725: 4723: 4715: 4707: 4685: 4682: 4679: 4674: 4668: 4657: 4649: 4645: 4631: 4629: 4621: 4613: 4596: 4590: 4584: 4581: 4575: 4572: 4569: 4563: 4560: 4556: 4549: 4546: 4540: 4537: 4532: 4521: 4517: 4514: 4511: 4509: 4501: 4493: 4489: 4477: 4476: 4475: 4474: 4473: 4453: 4450: 4447: 4434: 4426: 4422: 4418: 4415: 4412: 4407: 4404: 4401: 4387: 4384: 4378: 4375: 4366: 4363: 4360: 4354: 4348: 4341: 4340: 4339: 4337: 4318: 4312: 4306: 4297: 4279: 4273: 4270: 4267: 4264: 4261: 4257: 4253: 4244: 4238: 4230: 4224: 4221: 4218: 4215: 4211: 4202: 4196: 4190: 4181: 4173: 4169: 4160: 4154: 4148: 4142: 4136: 4128: 4126: 4105: 4102: 4091: 4083: 4079: 4049: 4043: 4037: 4034: 4031: 4025: 4001: 3994: 3991: 3985: 3982: 3973: 3969: 3966: 3963: 3957: 3951: 3942: 3922: 3916: 3908: 3902: 3899: 3896: 3893: 3889: 3885: 3879: 3872: 3868: 3864: 3860: 3858: 3850: 3842: 3838: 3830: 3827: 3821: 3815: 3807: 3801: 3798: 3795: 3792: 3788: 3782: 3774: 3770: 3766: 3764: 3755: 3748: 3745: 3742: 3725: 3719: 3716: 3713: 3710: 3704: 3701: 3697: 3688: 3686: 3678: 3670: 3666: 3653: 3636: 3630: 3607: 3604: 3601: 3590: 3584: 3578: 3555: 3549: 3546: 3543: 3531: 3529: 3515: 3507: 3491: 3471: 3445: 3442: 3439: 3427: 3405: 3402: 3396: 3393: 3390: 3370: 3351: 3348: 3345: 3342: 3339: 3336: 3333: 3330: 3327: 3324: 3321: 3318: 3313: 3309: 3305: 3300: 3296: 3292: 3289: 3286: 3283: 3280: 3275: 3271: 3267: 3262: 3258: 3246: 3229: 3226: 3221: 3217: 3213: 3210: 3207: 3204: 3178: 3172: 3169: 3166: 3158: 3157: 3156: 3154: 3138: 3118: 3115: 3112: 3104: 3084: 3064: 3041: 3035: 3032: 3029: 3017: 3015: 3001: 2975: 2967: 2952: 2932: 2924: 2923: 2906: 2900: 2897: 2893: 2886: 2880: 2877: 2874: 2866: 2848: 2845: 2842: 2805: 2798:and a sample 2785: 2765: 2757: 2756: 2755: 2741: 2734:with density 2721: 2701: 2694:with density 2681: 2673: 2669: 2665: 2657: 2655: 2634: 2628: 2625: 2618: 2611: 2605: 2582: 2576: 2567: 2550: 2544: 2541: 2535: 2529: 2509: 2486: 2480: 2457: 2451: 2428: 2422: 2419: 2416: 2410: 2404: 2384: 2364: 2341: 2335: 2331: 2324: 2318: 2298: 2278: 2255: 2252: 2249: 2225: 2215: 2209: 2206: 2198: 2192: 2186: 2183: 2179: 2150: 2147: 2144: 2141: 2117: 2107: 2101: 2098: 2090: 2084: 2078: 2075: 2071: 2061: 2056: 2053: 2044: 2030: 2010: 1990: 1986: 1982: 1974: 1958: 1949: 1935: 1912: 1906: 1886: 1863: 1860: 1857: 1837: 1834: 1807: 1799: 1784: 1781: 1776: 1774: 1766: 1763: 1756: 1750: 1745: 1742: 1736: 1730: 1727: 1724: 1720: 1714: 1711: 1706: 1704: 1696: 1693: 1686: 1680: 1671: 1665: 1662: 1654: 1648: 1640: 1637: 1631: 1625: 1622: 1619: 1615: 1611: 1609: 1595: 1592: 1589: 1578: 1570: 1567: 1564: 1558: 1555: 1552: 1543:because  1532: 1523: 1517: 1514: 1506: 1500: 1494: 1490: 1487: 1485: 1476: 1471: 1467: 1451: 1445: 1442: 1434: 1428: 1422: 1419: 1415: 1405: 1401: 1395: 1393: 1371: 1364: 1353: 1343: 1337: 1334: 1326: 1320: 1314: 1311: 1307: 1293: 1286: 1282: 1279: 1277: 1266: 1256: 1250: 1247: 1239: 1233: 1227: 1224: 1220: 1209: 1203: 1201: 1195: 1185: 1179: 1176: 1168: 1162: 1156: 1153: 1149: 1130: 1128: 1109: 1103: 1095: 1091: 1086: 1084: 1065: 1059: 1050: 1037: 1031: 1025: 1002: 996: 973: 970: 967: 938: 932: 929: 922: 915: 909: 906: 903: 880: 874: 871: 845: 839: 836: 833: 830: 827: 824: 821: 818: 806: 792: 789: 783: 777: 757: 754: 748: 742: 722: 702: 682: 659: 653: 650: 647: 641: 635: 615: 607: 588: 585: 578:, satisfying 562: 556: 552: 545: 539: 519: 499: 473: 467: 464: 457: 450: 444: 424: 404: 384: 361: 355: 335: 312: 306: 299: 283: 271: 269: 267: 263: 245: 220: 200: 192: 177: 169: 154: 146: 145: 144: 141: 139: 123: 113: 99: 91: 83: 81: 79: 74: 69: 67: 49: 34: 30: 26: 22: 8008: 7981: 7977: 7971: 7946: 7942: 7932: 7907: 7903: 7897: 7862: 7858: 7852: 7817: 7813: 7807: 7790: 7786: 7780: 7755: 7751: 7745: 7726: 7720: 7698:(1): 31–48. 7695: 7691: 7681: 7648: 7644: 7634: 7611: 7605: 7570: 7564: 7554: 7527: 7521: 7479: 7476: 7472: 7385:already know 7384: 7312: 7031: 7026: 7022: 7015: 6986: 6983: 6925:In general, 6924: 6745: 6575: 4816: 4471: 4298: 4129: 4123:, is from a 3943: 3654: 3535: 3374: 3131:, sometimes 3021: 2993: 2754:as follows: 2661: 2568: 2045: 1950: 1131: 1087: 1051: 807: 275: 236: 142: 114: 87: 77: 70: 32: 29:distribution 24: 18: 7939:Best, N. G. 7090:instead of 7019:log-concave 6069:, therefore 4338:, that is, 4068:. Clearly, 1090:Monte Carlo 84:Description 8020:Categories 7597:1051.65007 7513:References 7315:accepted. 7155:is messy, 7121:directly. 6766:, that is 4299:Note that 3367:(see also 2672:his needle 2134:Note that 1575:when  258:‑positions 7924:1061-8600 7867:CiteSeerX 7844:0098-3500 7822:CiteSeerX 7712:1874-1746 7665:0025-5718 7166:⁡ 7064:⁡ 6980:Drawbacks 6961:∈ 6897:σ 6878:μ 6875:− 6859:⋅ 6835:≥ 6702:∼ 6670:σ 6657:σ 6651:∗ 6647:θ 6640:μ 6608:∼ 6555:≥ 6533:− 6522:∗ 6518:θ 6514:− 6482:≤ 6426:∼ 6389:σ 6385:μ 6382:− 6373:≥ 6324:σ 6305:μ 6302:− 6290:− 6282:⁡ 6261:≥ 6231:σ 6212:μ 6209:− 6197:− 6189:⁡ 6168:≥ 6144:∗ 6140:θ 6133:ψ 6122:∗ 6118:θ 6114:− 6108:⁡ 6054:∞ 6042:∈ 5953:≥ 5931:≥ 5909:∗ 5905:θ 5898:ψ 5887:∗ 5883:θ 5879:− 5873:⁡ 5845:∗ 5841:θ 5816:≥ 5763:∗ 5759:θ 5752:ψ 5749:− 5741:∗ 5737:θ 5730:⁡ 5692:∗ 5688:θ 5666:≥ 5644:≥ 5594:≥ 5536:σ 5502:∗ 5498:θ 5461:σ 5456:μ 5453:− 5439:∗ 5435:θ 5397:σ 5393:θ 5387:μ 5370:θ 5349:is to set 5335:∗ 5331:θ 5308:∗ 5304:θ 5269:σ 5256:σ 5252:θ 5246:μ 5199:η 5189:σ 5179:η 5167:σ 5163:θ 5157:μ 5145:θ 5139:ψ 5136:− 5130:η 5124:θ 5118:ψ 5109:η 5101:θ 5097:ψ 5067:⋅ 5059:θ 5030:μ 4999:∞ 4985:∈ 4942:θ 4932:σ 4922:θ 4919:μ 4910:θ 4904:ψ 4875:σ 4868:μ 4857:∼ 4831:⋅ 4788:η 4777:η 4768:∂ 4759:η 4751:θ 4747:ψ 4737:∂ 4708:θ 4680:η 4669:η 4666:∂ 4658:η 4650:θ 4646:ψ 4642:∂ 4614:θ 4600:∞ 4591:θ 4585:ψ 4582:− 4576:η 4570:θ 4564:ψ 4547:η 4541:⁡ 4533:θ 4518:⁡ 4502:η 4494:θ 4490:ψ 4454:θ 4419:⁡ 4408:θ 4379:⁡ 4367:⁡ 4355:θ 4349:ψ 4322:∞ 4313:θ 4307:ψ 4280:θ 4274:ψ 4265:θ 4262:− 4231:θ 4225:ψ 4222:− 4216:θ 4174:θ 4109:Θ 4106:∈ 4103:θ 4092:⋅ 4084:θ 4053:∞ 4044:θ 4038:ψ 4032:θ 4023:Θ 3992:θ 3986:⁡ 3970:⁡ 3958:θ 3952:ψ 3909:θ 3903:ψ 3900:− 3894:θ 3869:θ 3843:θ 3808:θ 3802:ψ 3799:− 3793:θ 3778:∞ 3775:− 3771:∫ 3746:≤ 3726:θ 3720:ψ 3717:− 3711:θ 3705:⁡ 3671:θ 3605:≤ 3556:⋅ 3547:∼ 3443:∈ 3403:≈ 3394:∈ 3319:∈ 3227:∈ 3208:≥ 3179:⋅ 3170:∼ 3116:∈ 3042:⋅ 3033:∼ 2867:Check if 2658:Algorithm 2417:≤ 2187:≤ 2154:∞ 2145:≤ 2079:≤ 1913:⋅ 1838:∼ 1721:∫ 1616:∫ 1556:≤ 1423:≤ 1402:⁡ 1315:≤ 1294:⁡ 1228:≤ 1210:⁡ 1157:≤ 834:⋅ 770:whenever 648:≤ 604:over the 592:∞ 7616:Springer 7486:See also 6691:and new 5426:that is 5016:, where 3873:′ 3247:Output: 3097:, i.e., 7963:2986138 7889:1390680 7772:2347565 7673:2005864 7589:1994729 7023:density 4896:, with 3159:Sample 2271:. When 606:support 66:density 64:with a 7961:  7922:  7887:  7869:  7842:  7824:  7770:  7733:  7710:  7671:  7663:  7622:  7595:  7587:  7542:  3944:where 2668:Buffon 1827:where 272:Theory 7959:JSTOR 7885:JSTOR 7768:JSTOR 7669:JSTOR 7017:have 2818:from 7920:ISSN 7840:ISSN 7731:ISBN 7708:ISSN 7661:ISSN 7620:ISBN 7540:ISBN 7425:(or 6467:, if 5027:> 4597:< 4319:< 4050:< 4015:and 2878:< 2670:and 2151:< 1743:> 1638:> 907:< 790:> 755:> 589:< 7986:doi 7951:doi 7912:doi 7877:doi 7832:doi 7795:doi 7760:doi 7700:doi 7653:doi 7593:Zbl 7575:doi 7532:doi 7163:log 7061:log 7004:or 6279:exp 6186:exp 6105:exp 5870:exp 5727:exp 4538:exp 4515:log 4416:log 4376:exp 4364:log 3983:exp 3967:log 3702:exp 3155:): 608:of 8022:: 7982:52 7980:. 7957:. 7947:44 7918:. 7908:20 7906:. 7883:. 7875:. 7861:. 7838:. 7830:. 7818:21 7816:. 7789:. 7766:. 7756:41 7706:. 7696:12 7694:. 7690:. 7667:. 7659:. 7649:26 7647:. 7643:. 7618:. 7614:. 7591:. 7585:MR 7583:. 7571:31 7569:. 7563:. 7538:. 7313:is 7029:. 4846:, 3571:, 2922:. 1948:. 1547:Pr 1129:. 1085:. 805:. 268:. 68:. 23:, 7992:. 7988:: 7965:. 7953:: 7926:. 7914:: 7891:. 7879:: 7863:7 7846:. 7834:: 7801:. 7797:: 7791:1 7774:. 7762:: 7739:. 7714:. 7702:: 7675:. 7655:: 7628:. 7599:. 7577:: 7548:. 7534:: 7450:) 7447:x 7444:( 7438:l 7434:h 7412:) 7409:x 7406:( 7400:l 7396:g 7370:) 7367:x 7364:( 7360:f 7336:) 7333:x 7330:( 7326:h 7298:) 7295:x 7292:( 7288:f 7249:) 7246:x 7243:( 7239:h 7218:) 7215:x 7212:( 7208:f 7179:) 7176:x 7173:( 7169:f 7142:) 7139:x 7136:( 7132:f 7108:) 7105:x 7102:( 7098:g 7077:) 7074:x 7071:( 7067:g 7058:= 7054:) 7051:x 7048:( 7044:h 6964:A 6958:X 6938:X 6910:) 6901:2 6893:2 6886:2 6882:) 6872:b 6869:( 6863:e 6856:b 6853:( 6850:O 6847:= 6841:) 6838:b 6832:X 6829:( 6825:P 6820:1 6798:) 6795:b 6792:( 6789:O 6786:= 6783:) 6780:b 6777:( 6774:M 6754:b 6731:) 6728:1 6725:, 6722:0 6719:( 6715:f 6712:i 6709:n 6706:U 6699:U 6679:) 6674:2 6666:, 6661:2 6643:+ 6637:( 6633:N 6627:. 6624:d 6621:. 6618:i 6615:. 6612:i 6604:X 6584:X 6561:) 6558:b 6552:x 6549:( 6545:I 6539:) 6536:b 6530:x 6527:( 6510:e 6506:= 6501:M 6497:) 6494:x 6491:( 6488:Z 6479:U 6455:) 6452:1 6449:, 6446:0 6443:( 6439:f 6436:i 6433:n 6430:U 6423:U 6395:) 6379:b 6370:) 6367:1 6364:, 6361:0 6358:( 6354:N 6349:( 6344:P 6337:) 6328:2 6320:2 6313:2 6309:) 6299:b 6296:( 6286:( 6273:= 6267:) 6264:b 6258:X 6255:( 6251:P 6244:) 6235:2 6227:2 6220:2 6216:) 6206:b 6203:( 6193:( 6180:= 6174:) 6171:b 6165:X 6162:( 6158:P 6152:) 6149:) 6136:( 6130:+ 6127:b 6111:( 6099:= 6096:) 6093:b 6090:( 6087:Z 6084:= 6081:M 6057:] 6051:, 6048:b 6045:[ 6039:x 6019:) 6016:x 6013:( 6010:Z 5990:M 5959:) 5956:b 5950:X 5947:( 5943:P 5937:) 5934:b 5928:x 5925:( 5921:I 5917:) 5914:) 5901:( 5895:+ 5892:x 5876:( 5864:= 5858:) 5855:x 5852:( 5836:g 5830:) 5827:x 5824:( 5819:b 5813:X 5809:| 5805:X 5801:f 5794:= 5787:) 5784:x 5781:( 5778:Z 5771:) 5768:) 5755:( 5746:x 5733:( 5724:) 5721:x 5718:( 5715:f 5712:= 5705:) 5702:x 5699:( 5683:g 5672:) 5669:b 5663:X 5660:( 5656:P 5650:) 5647:b 5641:x 5638:( 5634:I 5630:) 5627:x 5624:( 5621:f 5615:= 5608:) 5605:x 5602:( 5597:b 5591:X 5587:| 5583:X 5579:f 5557:. 5545:) 5540:2 5532:, 5529:b 5526:( 5522:N 5518:= 5515:) 5512:x 5509:( 5493:g 5472:. 5465:2 5450:b 5444:= 5421:, 5409:b 5406:= 5401:2 5390:+ 5384:= 5381:) 5378:X 5375:( 5365:E 5290:. 5278:) 5273:2 5265:, 5260:2 5249:+ 5243:( 5239:N 5223:, 5209:2 5203:2 5193:2 5182:+ 5176:) 5171:2 5160:+ 5154:( 5151:= 5148:) 5142:( 5133:) 5127:+ 5121:( 5115:= 5112:) 5106:( 5070:) 5064:( 5055:F 5024:b 5003:] 4996:, 4993:b 4989:[ 4982:X 4978:| 4974:X 4952:2 4946:2 4936:2 4925:+ 4916:= 4913:) 4907:( 4884:) 4879:2 4871:, 4865:( 4861:N 4854:X 4834:) 4828:( 4825:F 4794:0 4791:= 4783:| 4772:2 4762:) 4756:( 4741:2 4726:= 4719:) 4716:X 4713:( 4703:r 4700:a 4697:V 4686:0 4683:= 4675:| 4661:) 4655:( 4632:= 4625:) 4622:X 4619:( 4609:E 4594:) 4588:( 4579:) 4573:+ 4567:( 4561:= 4557:) 4553:) 4550:X 4544:( 4528:E 4522:( 4512:= 4505:) 4499:( 4468:. 4451:= 4448:t 4443:| 4438:) 4435:t 4432:( 4427:X 4423:M 4413:= 4405:= 4402:t 4397:| 4391:) 4388:X 4385:t 4382:( 4371:E 4361:= 4358:) 4352:( 4316:) 4310:( 4283:) 4277:( 4271:+ 4268:x 4258:e 4254:= 4248:) 4245:x 4242:( 4239:f 4234:) 4228:( 4219:x 4212:e 4206:) 4203:x 4200:( 4197:f 4191:= 4185:) 4182:x 4179:( 4170:g 4164:) 4161:x 4158:( 4155:f 4149:= 4146:) 4143:x 4140:( 4137:Z 4099:} 4095:) 4089:( 4080:F 4076:{ 4056:} 4047:) 4041:( 4035:: 4029:{ 4026:= 4002:) 3998:) 3995:X 3989:( 3979:E 3974:( 3964:= 3961:) 3955:( 3926:) 3923:x 3920:( 3917:f 3912:) 3906:( 3897:x 3890:e 3886:= 3883:) 3880:x 3877:( 3865:F 3861:= 3854:) 3851:x 3848:( 3839:g 3831:y 3828:d 3825:) 3822:y 3819:( 3816:f 3811:) 3805:( 3796:y 3789:e 3783:x 3767:= 3756:] 3752:) 3749:x 3743:X 3740:( 3736:I 3732:) 3729:) 3723:( 3714:X 3708:( 3698:[ 3693:E 3689:= 3682:) 3679:x 3676:( 3667:F 3640:) 3637:x 3634:( 3631:f 3611:) 3608:x 3602:X 3599:( 3595:P 3591:= 3588:) 3585:x 3582:( 3579:F 3559:) 3553:( 3550:F 3544:X 3516:M 3492:M 3472:M 3449:) 3446:A 3440:X 3437:( 3433:P 3428:1 3406:0 3400:) 3397:A 3391:X 3388:( 3384:P 3371:) 3355:} 3352:N 3349:, 3346:. 3343:. 3340:. 3337:, 3334:1 3331:= 3328:i 3325:, 3322:A 3314:i 3310:X 3306:: 3301:N 3297:X 3293:, 3290:. 3287:. 3284:. 3281:, 3276:2 3272:X 3268:, 3263:1 3259:X 3255:{ 3233:} 3230:A 3222:n 3218:X 3214:: 3211:1 3205:n 3202:{ 3182:) 3176:( 3173:F 3167:X 3139:X 3119:A 3113:X 3109:| 3105:X 3085:A 3065:X 3045:) 3039:( 3036:F 3030:X 3002:M 2976:y 2965:; 2953:f 2933:y 2910:) 2907:y 2904:( 2901:g 2898:M 2894:/ 2890:) 2887:y 2884:( 2881:f 2875:u 2852:) 2849:1 2846:, 2843:0 2840:( 2836:f 2833:i 2830:n 2827:U 2806:u 2786:Y 2766:y 2742:g 2722:Y 2702:f 2682:X 2641:) 2638:) 2635:x 2632:( 2629:g 2626:M 2623:( 2619:/ 2615:) 2612:x 2609:( 2606:f 2586:) 2583:x 2580:( 2577:f 2554:) 2551:x 2548:( 2545:g 2542:= 2539:) 2536:x 2533:( 2530:f 2510:M 2490:) 2487:x 2484:( 2481:f 2461:) 2458:x 2455:( 2452:g 2432:) 2429:x 2426:( 2423:g 2420:M 2414:) 2411:x 2408:( 2405:f 2385:M 2365:M 2345:) 2342:x 2339:( 2336:g 2332:/ 2328:) 2325:x 2322:( 2319:f 2299:M 2279:M 2259:] 2256:1 2253:, 2250:0 2247:[ 2226:) 2219:) 2216:Y 2213:( 2210:g 2207:M 2202:) 2199:Y 2196:( 2193:f 2184:U 2180:( 2175:P 2148:M 2142:1 2118:) 2111:) 2108:Y 2105:( 2102:g 2099:M 2094:) 2091:Y 2088:( 2085:f 2076:U 2072:( 2067:P 2062:1 2057:= 2054:M 2031:M 2011:M 1991:M 1987:/ 1983:1 1959:Y 1936:Y 1916:) 1910:( 1907:g 1887:y 1867:) 1864:1 1861:, 1858:0 1855:( 1851:f 1848:i 1845:n 1842:U 1835:U 1811:) 1808:X 1800:Y 1792:( 1785:M 1782:1 1777:= 1767:y 1764:d 1760:) 1757:y 1754:( 1751:f 1746:0 1740:) 1737:y 1734:( 1731:g 1728:: 1725:y 1715:M 1712:1 1707:= 1697:y 1694:d 1690:) 1687:y 1684:( 1681:g 1675:) 1672:y 1669:( 1666:g 1663:M 1658:) 1655:y 1652:( 1649:f 1641:0 1635:) 1632:y 1629:( 1626:g 1623:: 1620:y 1612:= 1602:) 1599:) 1596:1 1593:, 1590:0 1587:( 1579:U 1571:, 1568:u 1565:= 1562:) 1559:u 1553:U 1550:( 1539:( 1533:] 1527:) 1524:Y 1521:( 1518:g 1515:M 1510:) 1507:Y 1504:( 1501:f 1495:[ 1491:E 1488:= 1477:] 1472:) 1468:Y 1463:| 1455:) 1452:Y 1449:( 1446:g 1443:M 1438:) 1435:Y 1432:( 1429:f 1420:U 1416:( 1411:P 1406:[ 1399:E 1396:= 1386:) 1378:( 1372:] 1368:] 1365:Y 1361:| 1354:] 1347:) 1344:Y 1341:( 1338:g 1335:M 1330:) 1327:Y 1324:( 1321:f 1312:U 1308:[ 1302:1 1297:[ 1291:E 1287:[ 1283:E 1280:= 1267:] 1260:) 1257:Y 1254:( 1251:g 1248:M 1243:) 1240:Y 1237:( 1234:f 1225:U 1221:[ 1215:1 1207:E 1204:= 1196:) 1189:) 1186:Y 1183:( 1180:g 1177:M 1172:) 1169:Y 1166:( 1163:f 1154:U 1150:( 1145:P 1113:) 1110:x 1107:( 1104:f 1069:) 1066:x 1063:( 1060:f 1038:. 1035:) 1032:x 1029:( 1026:f 1006:) 1003:x 1000:( 997:f 977:) 974:v 971:, 968:x 965:( 945:) 942:) 939:x 936:( 933:g 930:M 927:( 923:/ 919:) 916:x 913:( 910:f 904:u 884:) 881:x 878:( 875:g 872:M 852:) 849:) 846:x 843:( 840:g 837:M 831:u 828:= 825:v 822:, 819:x 816:( 793:0 787:) 784:x 781:( 778:f 758:0 752:) 749:x 746:( 743:g 723:X 703:Y 683:x 663:) 660:x 657:( 654:g 651:M 645:) 642:x 639:( 636:f 616:X 586:M 566:) 563:x 560:( 557:g 553:/ 549:) 546:x 543:( 540:f 520:M 500:Y 480:) 477:) 474:x 471:( 468:g 465:M 462:( 458:/ 454:) 451:x 448:( 445:f 425:Y 405:Y 385:X 365:) 362:x 359:( 356:g 336:Y 316:) 313:x 310:( 307:f 284:X 246:x 221:x 201:x 178:x 155:x 124:1 100:x 78:N 50:m 45:R

Index

computational statistics
distribution
density
random variable
probability density function
inversion sampling
normalizing constant
computational statistics
probability density function
support
Metropolis algorithm
Monte Carlo
Markov chain Monte Carlo
Metropolis algorithm
geometric distribution
John von Neumann
Buffon
his needle
inverse transform sampling
truncation (statistics)
Natural Exponential Family
natural exponential family
cumulant-generation function
exponential tilting
adaptive rejection sampling
ratio of uniforms
curse of dimensionality
Metropolis sampling
Gibbs sampling
log-concave

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