ars: Adaptive Rejection Sampling
In mouriersacha/ars: Adaptive Rejection Sampling

Description Usage Arguments Details Value Author(s) References Examples

Method for rejection sampling for any univariate log-concave probability density function.

1	ars(myfun, m, lower, upper)

`myfun`	density the user wants to sample from
`m`	sample size
`lower`	value of the lower bound
`upper`	value of the upper bound

The method is adaptive: as sampling proceeds, the rejection envelope and the squeezing function converge to the density function. The rejection envelope and squeezing function are piecewise exponential functions forming arcs between those points of contact. The technique is intended for situations where evaluation of the density is computationally expensive.

a sample of inputted length n from a density

Cindy Zhang, Sihan Chen, Sacha Mourier

Gilks, W. R, Wild, P. (1992) Adaptive Rejection Sampling for Gibbs Sampling, Applied Statistics 41:337-348

library(ars)

#Example: sample 500 values from the standard normal distribution
ars1 <- ars(myfun = dnorm, m = 500, lower = -6, upper = 6)
hist(ars1, breaks = 100)