Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
 
Abstract : This paper extends the accept-reject algorithm to allow the proposal distribution to change at each iteration. We first establish a necessary and sufficient condition for this generalized accept-reject algorithm to be valid, and then show how the Rao-Blackwellization of Casella and Robert (1996) can be extended to this setting. An important application of these results is to the perfect sampling technique of Fill (1998), which is a generalized accept-reject algorithm in disguise.
 
 
RAO-BLACKWELLIZATION OF GENERALIZED ACCEPT-REJECT SCHEMES
CASELLA G., ROBERT Christian P., WELLS M.T.
2000-51
22-11-2000
 
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