Exponential-envelope rejection sampling for a chi-squared variable

ID: exponential-envelope-rejection-sampling-for-a-chi-squared-variable

Write . Against an exponential distribution proposal of mean , the chi-squared distribution density has envelope constant . The density ratio divided by is . Thus generate and accept when for independent uniform distributions. The inequality validates the acceptance probability. The accepted probability density function is the target because rejection sampling weights the proposal by its target-to-envelope ratio.

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