Adaptive Rejection Sampling

[ddong]

Does anyone know whether there is an avaiable function within proc iml for adaptive rejection sampling from any univariate log-concave probability density function? Thanks in advance!

[Rick_SAS]

There is no built-in pre-written algorithm to do this. The following web page outlines an implementation in MATLAB or SAS/IML:

http://www.angelfire.com/falcon/isinotes/statcomp/mcmc/gibbs5.html

[ddong]

Thanks Rick, for the information.