SSP'05 -- Proceedings

	IEEE/SP 13th workshop on Statistical Signal Processing July, 17-20, 2005 - Bordeaux - France

Information regarding the paper

Title

Simulation of positive normal variables using several proposal distributions

Author(s)

Vincent Mazet	Université Henri Poincaré, Nancy 1, CRAN CNRS UMR 7039
David Brie	Université Henri Poincaré, Nancy 1, CRAN CNRS UMR 7039
Jérôme Idier	École Centrale de Nantes, IRCCyN, CNRS UMR 6597

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Abstract

In this paper, we propose a new methodology to generate random variables distributed according to a Gaussian with positive support. We narrow the study to the univariate case. The method consists in an accept-reject algorithm in which a previous step is added consisting in choosing among several proposal distributions the one which gives the highest average probability of acceptance for given parameters of the target distribution. This results in a very fast method since it generates low reject.