A note on generating random variables with log-concave densities

We present a black-box style rejection method that is valid for generating random variables with any log-concave density, provided that one knows a mode of the density. When the density is only known up to a constant factor, that method is no longer applicable.

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Year of publication:	2012
Authors:	Devroye, Luc
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 5, p. 1035-1039
Publisher:	Elsevier
Subject:	Random variate generation \| Simulation \| Monte Carlo method \| Expected time analysis \| Log-concavity

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010571814