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Re: random variable

  • To: mathgroup at smc.vnet.net
  • Subject: [mg103302] Re: random variable
  • From: fd <fdimer at gmail.com>
  • Date: Mon, 14 Sep 2009 07:11:11 -0400 (EDT)
  • References: <200908280943.FAA11851@smc.vnet.net> <28A3460B9CB94660BE9B0EF0E222E8E2@laertes>

On Sep 11, 7:29 pm, omar bdair <bdai... at yahoo.com> wrote:
> Dear all,
>
> Generating random variables using the rejection method is the best
> method that I want to use. But the file sent by Harker only discussed
> the case of one variable pdf. The question is: Could we use the
> rejection method to generate a sequence of random variables when the
> pdf is of multi-variables?
>
> Thank you      
>
> Omar Bdair

I'd suggest you to use a Markov chain monte carlo method. You can find
an excellent exposition in Mackay's book (chapter 29)

http://www.inference.phy.cam.ac.uk/mackay/itila/book.html

The author explains why rejection isn't the best for multi-variable
sampling.







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