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Density approximation and exact simulation of random variables that are solutions of fixed-point equations

Published online by Cambridge University Press:  01 July 2016

Luc Devroye
Affiliation:
McGill University
Ralph Neininger
Affiliation:
McGill University
Corresponding
E-mail address:

Abstract

An algorithm is developed for 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 fixed points with explicit error bounds are constructed. The sampling algorithm relies on a modified rejection method.

Type
General Applied Probability
Copyright
Copyright © Applied Probability Trust 2002 

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