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!
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
Thanks Rick, for the information.
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