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Exact Rejection Sampling for Non-Gaussian State Space Models

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  • Joshua C. C. Chan

Abstract

Rejection sampling requires a proposal that dominates the target by a known constant, generally unavailable for non-Gaussian state space models. We construct such a proposal for the latent state path, yielding independent exact smoothing draws and an unbiased likelihood estimator whose relative variance is at most $1/p-1$ per draw at acceptance probability $p$. The method covers scalar states with affine Gaussian dynamics and log-concave observation densities, including multivariate observations. Transition twisting makes the log target-to-proposal ratio separable, and tangent-line twists make each term nonpositive, producing an attained, sharp dominating constant. With a companding node placement, the accumulated envelope error is $O(T/G^2)$ for a sample of length $T$ with $G$ nodes per date, so $G\propto\sqrt{T}$ keeps acceptance bounded away from zero; for stochastic volatility, the required conditions hold almost surely. A simpler mode-centered grid shows the same scaling empirically. At $T=2{,}000$, acceptance is $75\%$, versus roughly $10^{-16}$ for the Gaussian envelope.

Suggested Citation

  • Joshua C. C. Chan, 2026. "Exact Rejection Sampling for Non-Gaussian State Space Models," Papers 2608.21619, arXiv.org.
  • Handle: RePEc:arx:papers:2608.21619
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    4. Joshua C. C. Chan, 2017. "The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 17-28, January.
    5. J. Durbin, 2002. "A simple and efficient simulation smoother for state space time series analysis," Biometrika, Biometrika Trust, vol. 89(3), pages 603-616, August.
    6. W. R. Gilks & P. Wild, 1992. "Adaptive Rejection Sampling for Gibbs Sampling," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 41(2), pages 337-348, June.
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