Another look at rejection sampling through importance sampling

Research output: Contribution to journalArticlepeer-review

Abstract

We show that rejection sampling is inferior to the importance sampling algorithm in terms of the χ2 distance between the proposal distribution and the target distribution. Similar conclusions are drawn for comparing rejection control with importance sampling.

Original languageEnglish (US)
Pages (from-to)277-283
Number of pages7
JournalStatistics and Probability Letters
Volume72
Issue number4
DOIs
StatePublished - May 15 2005
Externally publishedYes

Keywords

  • Effective sample size
  • Importance sampling
  • Rejection control
  • Rejection sampling
  • χ distance

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Statistics and Probability

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