\[ \newcommand{\Exg}{\operatorname{\mathbb{E}}} \newcommand{\Ex}{\mathbb{E}} \newcommand{\Ind}{\mathbb{I}} \newcommand{\Var}{\operatorname{Var}} \newcommand{\Cov}{\operatorname{Cov}} \newcommand{\Corr}{\operatorname{Corr}} \newcommand{\ee}{\mathrm{e}} \]
16 Envelope rejection sampling II
Summary:
Envelope rejection sampling with envelope \(cg(x)\) has unconditional acceptance probability \(1/c\).
Envelope rejection sampling works even if the desired distribution is only know up to a proportionality constant.
Read more: Voss, An Introduction to Statistical Computing, Subsections 1.4.2.