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Biometrika 1999 86(4):803-813; doi:10.1093/biomet/86.4.803
© 1999 by Biometrika Trust
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Beyond accept-reject sampling

F Perron

Department of Mathematics and Statistics, University of Montreal, PO Box 6128, Station 'centre-ville', Montreal, Quebec, Canada H3C 3J7 E-mail: perronf@dms.umontreal.ca

We propose a new estimator for estimating a quantity µ via Monte Carlo simulations, where µ={int}fdP and P is the target probability measure. The new estimator outperforms the usual accept-reject algorithm in terms of reducing the variance. Properties of the estimator are derived. A new Rao-Blackwellised version of the estimator is also produced, but this version requires enormous computing time. Numerical results are provided.

Key Words: accept-reject sampling; importance sampling; Rao-Blackwell theorem


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