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MathGroup Archive 2006

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Re: How to sample a 2-dim. r.v. with known density function?

  • To: mathgroup at smc.vnet.net
  • Subject: [mg65296] Re: How to sample a 2-dim. r.v. with known density function?
  • From: "KvS" <keesvanschaik at gmail.com>
  • Date: Fri, 24 Mar 2006 01:00:05 -0500 (EST)
  • References: <dvu47b$86p$1@smc.vnet.net>
  • Sender: owner-wri-mathgroup at wolfram.com

Hi Tony,

thanks for your informative response! I looked up some stuff on the
rejection method you mention and I was able with some basic
transformation and estimation to find a dominating density that
represents just two independent Gaussians conditioned to be
non-negative :). I understand that the ratio p(x,y)/p0(x,y) is
important in order to avoid getting too many rejections before
acceptance, I have to yet to try and see if the estimate is good enough
in this sense.

- Kees


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