A Method of Generating Random Vectors with a Given Probability Density Function
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We propose a method for generating random independent vectors that have a given continuous distribution density with compact support. The main advantage of the proposed method are guaranteed estimates of the error in the generation of random vectors. We show an illustrative experimental comparison of the proposed method with the Metropolis-Hastings algorithm.
Keywordsrandom vector generation Metropolis–Hastings algorithm
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