Laplace ratio-of-uniforms envelope
ID: laplace-ratio-of-uniforms-envelope
For the unnormalized Laplace distribution probability density function , the ratio-of-uniforms method uses . The maximum of is one. On , the maximum of occurs at and equals . On , it occurs at and equals . Thus the displayed rectangle contains the region. Its area is , while the target region has area . Uniform proposals in the rectangle, accepted when , therefore return the correct Laplace distribution with acceptance probability .
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