Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2016/iii/paper-208/5/c/solution

On , the exponential proposal is the proper density ; its integral is . The word “improper” in the question is therefore not applicable on its stated positive support.
The target-to-proposal ratio is
Its maximum occurs at , so the smallest valid envelope constant is
One implementation draws and accepts it when , for independent random variables with the uniform distribution on . Accepted observations have the positive half-normal density by the usual rejection sampling calculation.

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