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Published 20 hours ago • verified publisher icon probml

Adaptive Rejection Sampling incorrect

Open ido opened this issue 11 years ago • 0 comments

From [email protected] on August 27, 2013 19:20:23

Hi,

I found a bug in the adaptive rejection sampling code -- ars.m

arsEvalHulls returns log-values but they are subsequently treated as probability values for the accept/reject steps in lines 86 and 91 (eg divided with each other and compared to a uniform draw). This can cause the ARS to sample heavier tails than it should.

Original issue: http://code.google.com/p/pmtk3/issues/detail?id=61

ido avatar Jan 04 '14 01:01 ido