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An Elementary Rigorous Introduction to Exact Sampling

In: Recent Advances in Applied Probability

Author

Listed:
  • F. Friedrich

    (GSF - National Research Center for Environment and Health, Institute of Biomathematics and Biometry)

  • G. Winkler

    (GSF - National Research Center for Environment and Health, Institute of Biomathematics and Biometry)

  • O. Wittich

    (GSF - National Research Center for Environment and Health, Institute of Biomathematics and Biometry)

  • V. Liebscher

    (GSF - National Research Center for Environment and Health, Institute of Biomathematics and Biometry)

Abstract

We introduce coupling from the past, a recently developed method for exact sampling from a given distribution. Focus is on rigour and thorough proofs. We stay on an elementary level which requires little or no prior knowledge from probability theory. This should fill an obvious gap between innumerable intuitive and incomplete reviews, and few precise derivations on an abstract level.

Suggested Citation

  • F. Friedrich & G. Winkler & O. Wittich & V. Liebscher, 2005. "An Elementary Rigorous Introduction to Exact Sampling," Springer Books, in: Ricardo Baeza-Yates & Joseph Glaz & Henryk Gzyl & Jürgen Hüsler & José Luis Palacios (ed.), Recent Advances in Applied Probability, pages 143-161, Springer.
    • Handle: RePEc:spr:sprchp:978-0-387-23394-9_6
    DOI: 10.1007/0-387-23394-6_6
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