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Another look at rejection sampling through importance sampling

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  • Chen, Yuguo

Abstract

We show that rejection sampling is inferior to the importance sampling algorithm in terms of the [chi]2 distance between the proposal distribution and the target distribution. Similar conclusions are drawn for comparing rejection control with importance sampling.

Suggested Citation

  • Chen, Yuguo, 2005. "Another look at rejection sampling through importance sampling," Statistics & Probability Letters, Elsevier, vol. 72(4), pages 277-283, May.
    • Handle: RePEc:eee:stapro:v:72:y:2005:i:4:p:277-283
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    Cited by:

    1. Víctor Elvira & Luca Martino & Christian P. Robert, 2022. "Rethinking the Effective Sample Size," International Statistical Review, International Statistical Institute, vol. 90(3), pages 525-550, December.

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