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S Sep 9, 2019 at 21:35 history suggested Călin CC BY-SA 4.0
Fix the link for rejection sampling
Sep 9, 2019 at 19:29 review Suggested edits
S Sep 9, 2019 at 21:35
Sep 9, 2019 at 19:12 vote accept Călin
Sep 9, 2019 at 19:12 comment added Călin You're right. Thanks!
Sep 9, 2019 at 19:04 comment added Iosif Pinelis @Călin : To use this method, you will indeed have to have an expression for $h$, which I think can be computed by standard means in each particular case. The main difficulty here is to invert the map $\exp_x$, and you seem to be assuming, in the description of the 2nd step of your procedure, that this map is accessible. Then the inversion can be done at least numerically, in principle to any precision, I think. I also think something like this is unavoidable in order to reach your goal.
Sep 9, 2019 at 18:33 comment added Călin Thanks for the answer, Iosif! But how can I use rejection sampling given that $h(\cdot)$ is an implicit density? I don't have an expression for it, right?
Sep 9, 2019 at 15:39 history edited Iosif Pinelis CC BY-SA 4.0
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Sep 9, 2019 at 15:27 history edited Iosif Pinelis CC BY-SA 4.0
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Sep 9, 2019 at 15:20 history edited Iosif Pinelis CC BY-SA 4.0
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Sep 9, 2019 at 15:11 history answered Iosif Pinelis CC BY-SA 4.0