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VOL. 45 | 2004 Generalized Accept-Reject sampling schemes

Abstract

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.

Information

Published: 1 January 2004
First available in Project Euclid: 28 November 2007

zbMATH: 1268.65012
MathSciNet: MR2126910

Digital Object Identifier: 10.1214/lnms/1196285403

Subjects:
Primary: 65C60

Rights: Copyright © 2004, Institute of Mathematical Statistics

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Vol. 45 • 1 January 2004
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