Date
2004
Collection title
Lecture Notes Monograph Series
Collection Id
45
Dewey
Probabilités et mathématiques appliquées
Sujet
Monte Carlo methods; Accept-Reject; stopping rule; recycling; uniform variable
Book title
A Festschrift for Herman Rubin
Author
Rubin, Herman; DasGupta, Anirban
Publisher
Institute of Mathematical Statistics
Publisher city
Beachwood (Ohio)
Year
2004
Pages number
417
ISBN
0-940600-61-7
Author
Casella, George
Robert, Christian P.
Wells, Martin T.
Type
Chapitre d'ouvrage
Item number of pages
342-347
Abstract (EN)
This paper extends the Accept-Reject algorithm to allow the proposal distribution to change at each iteration. We first establish a necessary and sufficient condition for this generalized Accept-Reject algorithm to be valid, and then show how the resulting estimator can be improved by Rao-Blackwellization. An application of these results is to the perfect sampling technique of Fill (1998), An interruptible algorithm for perfect sampling via Markov chains, which is a generalized Accept-Reject algorithm.
