Another look at rejection sampling through importance sampling

Yuguo Chen

Statistics & Probability Letters, 2005, vol. 72, issue 4, 277-283

Abstract: We show that rejection sampling is inferior to the importance sampling algorithm in terms of the [chi]2 distance between the proposal distribution and the target distribution. Similar conclusions are drawn for comparing rejection control with importance sampling.

Keywords: [chi]2; distance; Effective; sample; size; Importance; sampling; Rejection; control; Rejection; sampling (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (1)

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