Agradecimientos:
This work has been partly financed by the Spanish
government, through the DEIPRO project (TEC2009-14504-C02-01)
and the CONSOLIDER-INGENIO 2010 program (CSD2008-00010).
Monte Carlo techniques, which require the generation of samples from some target density, are often the only alternative for performing Bayesian inference. Two classic sampling techniques to draw independent samples are the ratio of uniforms (RoU) and rejectioMonte Carlo techniques, which require the generation of samples from some target density, are often the only alternative for performing Bayesian inference. Two classic sampling techniques to draw independent samples are the ratio of uniforms (RoU) and rejection sampling (RS). An efficient sampling algorithm is proposed combining the RoU and polar RS (i.e. RS inside a sector of a circle using polar coordinates). Its efficiency is shown in drawing samples from truncated Cauchy and Gaussian random variables, which have many important applications in signal processing and communications.[+][-]
