Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2003/iii/paper-43/1/b/ii/solution

Integrating the Pareto distribution proposal yields for . For an independent uniform random variable , solve to obtain the inverse transform sampling rule
Equivalently because is also uniformly distributed. In implementation choose strictly between zero and one so that the inverse is finite.

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