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Unformatted text preview: ), we can get c = 2 e . Rejection algorithm: step1: Generate x Uniform (1 , 3). 2 step2: Generate u Uniform (0 , 1). step3: Accept x if u l ( x ) cg ( x ) = e 1 x-1 . 6 Problem 6 let l ( x ) = e-x e-e-x and h ( x ) = x . We can choose gamma(2,1) as our proposal distribution, so g ( x ) = xe-x , x > 0. Then the IS algorithm is: step1: Draw x ( i ) gamma (2 , 1) ,i = 1 , 2 ,...,n . step2: Calculate weights w ( i ) = e-x ( i ) e-e-x ( i ) x ( i ) e-x ( i ) = e-e-x ( i ) x ( i ) . step3: Estimate by = n i =1 w ( i ) h ( x ( i ) ) n i =1 w ( i ) . 3...
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This note was uploaded on 10/24/2010 for the course STAT 428 taught by Professor Chen during the Spring '08 term at University of Illinois, Urbana Champaign.
- Spring '08