Exact Simulation of Random Variables that are Solutions of Fixed-Point Equations
نویسندگان
چکیده
An algorithm is developed for the exact simulation from distributions that are deened as xed-points of maps between spaces of probability measures. The xed-points of the class of maps under consideration include examples of limit distributions of random variables studied in the probabilistic analysis of algorithms. The sampling algorithm relies on a modiied rejection method.
منابع مشابه
Density Approximation and Exact Simulation of Random Variables that are Solutions of Fixed-Point Equations
An algorithm is developed for the exact simulation from distributions that are defined as fixed-points of maps between spaces of probability measures. The fixed-points of the class of maps under consideration include examples of limit distributions of random variables studied in the probabilistic analysis of algorithms. Approximating sequences for the densities of the fixedpoints with explicit ...
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تاریخ انتشار 2001