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Adaptive Rejection Sampling

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Occasional Contributor
Posts: 15

Adaptive Rejection Sampling

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!

SAS Super FREQ
Posts: 3,408

Adaptive Rejection Sampling

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

Occasional Contributor
Posts: 15

Adaptive Rejection Sampling

Thanks Rick, for the information.

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