SIAM Review · 1990 · 92 citations · 0 references
Natural SciencesComputer ScienceMathematicsProbability TheoryStatisticsStochastic ProcessesAcceptance SamplingDensity EstimationMonte Carlo MethodsMonte Carlo SimulationSampling TheorySimulation MethodsDiscrete Random VariablesMonte Carlo EstimationRejection Sampling
A simple proof, consisting of three lemmas, is given for the acceptance-rejection method in Monte Carlo sampling from a density f. The proof is valid for random variables in general dimension, for bounded as well as for unbounded support, and it is not affected by discontinuities or infinite peaks of f.