A note on generating random variables with log-concave densities

Luc Devroye

Statistics & Probability Letters, 2012, vol. 82, issue 5, 1035-1039

Abstract: We present a black-box style rejection method that is valid for generating random variables with any log-concave density, provided that one knows a mode of the density. When the density is only known up to a constant factor, that method is no longer applicable.

Keywords: Random variate generation; Simulation; Monte Carlo method; Expected time analysis; Log-concavity (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2012.01.022

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