Random Variable Generation Using Concavity Properties of Transformed Densities
Michael J. Evans, Tim B. Swartz · Journal of Computational and Graphical Statistics · 1998
Algorithms are developed for constructing random variable generators for families of densities. The generators depend on the concavity structure of a transformation of the density. The resulting algorithms are rejection algorithms and the methods of this article are concerned with constructing good rejection algorithms for general densities.