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Simulation of postive normal variables using several proposal distributions

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3 Author(s)
Mazet, V. ; CRAN, Univ. Henri Poincare, Vandoeuvre-les-Nancy ; Brie, D. ; Idier, J.

In this paper, we propose a new methodology to generate random variables distributed according to a Gaussian with positive support. We narrow the study to the univariate case. The method consists in an accept-reject algorithm in which a previous step is added consisting in choosing among several proposal distributions the one which gives the highest average probability of acceptance for given parameters of the target distribution. This results in a very fast method since it generates low reject

Published in:

Statistical Signal Processing, 2005 IEEE/SP 13th Workshop on

Date of Conference:

17-20 July 2005

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