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Truncated gamma rejection sampling with a Pareto envelope (x∗​=(α+b)/β)

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Monte Carlo method Rejection sampling
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For target density proportional to xα−1e−βx on x>a>0, use the Pareto distribution proposal g(x)=babx−b−1 with b>0. Its density ratio is proportional to xα+be−βx, maximized at (α+b)/β if that point exceeds a. The tight envelope yields the highest acceptance probability for this fixed proposal. An inverse draw is aU−1/b with U uniformly distributed on (0,1).

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  • Past exam of the mathematics course of the University of Cambridge / 2003 / iii / Paper 43 / 1 / b / i / Solution

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