Calculate the weights for the rao-blackwellized estimator

Reference no: EM131357827

A na¨ive way to implement the antithetic variable scheme is to use both U and (1-U) in an inversion simulation. Examine empirically whether this method leads to variance reduction for the distributions

To calculate the weights for the Rao-Blackwellized estimator of Section 4.6, it is necessary to derive properties of the distribution of the random variables in the Accept- Reject algorithm. The following problem is a rather straightforward exercise in distribution theory and is only made complicated by the stopping rule of the Accept-Reject algorithm.

Reference no: EM131357827

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