Xi'an's Og

When answering an X validated question on running an accept-reject algorithm for the Gamma distribution by using a mixture of Beta and drifted (bt 1) Exponential distributions, I came across the above glitch in the fit of my 10⁷ simulated sample to the target, apparently displaying a wrong proportion of simulations above (or below) one.

a=.9
g<-function(T){
  x=rexp(T)
  v=rt(T,1)<0
  x=c(1+x[v],exp(-x/a)[!v])
  x[runif(T)<x^a/x/exp(x)/((x>1)*exp(1-x)+a*(x<1)*x^a/x)*a]}

It took me a while to spot the issue, namely that the output of

  z=g(T)
  while(sum(!!z)<T)z=c(z,g(T))
  z[1:T]

was favouring simulations from the drifted exponential by truncating. Permuting the elements of z before returning solved the issue (as shown below for a=½)!

This entry was posted on June 8, 2020 at 12:20 am and is filed under Books, Kids, R, Statistics with tags accept-reject algorithm, bug, code golf, cross validated, debugging, Gamma generator, mixture of distributions, R, sample. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.