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Derivative Based Adaptive Rejection Sampling
Author

Erwann Rogard
Revision date

2007-11-19
Description

This is package for generating draws from an arbitrary log-concave pdf using an algorithm that requires only evaluation of the log pdf (up to an additive constant) and the derivative. This algorithm is commonly used for sampling from full conditional distributions arising in Gibbs sampling.
Subjects

*Applied Mathematics > Numerical Methods
*Mathematics > Probability and Statistics
Keywords

adaptive rejection sampling, log concave density, gibbs
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DerivativeBasedAdaptiveRejectionSampling.m (8.8 KB) - Mathematica Package [for Mathematica 5.2]
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ProbabilityPlot.m (1 KB) - Mathematica Package [for Mathematica 5.2]
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ars.ps (176.1 KB) - Postscript file
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testing_ars.nb (209.3 KB) - Mathematica Notebook [for Mathematica 5.2]