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Use this tag for accept-reject sampling methods. These are also known as rejection sampling methods. These methods sample a random variable from a dominating measure (h) and accepts the draw if an auxiliary random variable (a uniform) is less than the desired measure (g), so accept the draw if u<g. Otherwise draw another pair. You can think of this as sampling on a space with 1 additional dimension where the additional dimension is uniform under g.

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Tightness of rejection sampling

Hello. I'm studying the Monte Carlo Statistical Method textbook by Robert and Casella. I have a question about exercise problem 30 in Chapter 2. I've already solved parts (a)-(c), but I'm having diff …
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