Efficient random variable generation: ratio of uniforms and polar rejection sampling

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dc.contributor.author Luengo García, David
dc.contributor.author Martino, Luca
dc.date.accessioned 2013-04-09T13:07:53Z
dc.date.available 2013-04-09T13:07:53Z
dc.date.issued 2012-03
dc.identifier.issn 0013-5194
dc.identifier.uri http://hdl.handle.net/10016/16645
dc.description.abstract 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 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.
dc.description.sponsorship 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).
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher IEEE
dc.rights ©IEEE
dc.subject.other Bayes methods
dc.subject.other Gaussian processes
dc.subject.other Monte Carlo methods
dc.subject.other Random processes
dc.subject.other Signal sampling
dc.title Efficient random variable generation: ratio of uniforms and polar rejection sampling
dc.type article
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1049/el.2012.0206
dc.subject.eciencia Telecomunicaciones
dc.identifier.doi 10.1049/el.2012.0206
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 326
dc.identifier.publicationissue 6
dc.identifier.publicationlastpage 327
dc.identifier.publicationtitle IET Electronics Letters
dc.identifier.publicationvolume 48
dc.identifier.uxxi AR/0000009860
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