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In: Statistics and Probability

Recall the truncated distribution function F* and the algorithm for generating from it, as given in...

Recall the truncated distribution function F* and the algorithm for generating from it,
as given in Sec. 8.2.1.
(a) Show that the algorithm stated in Sec. 8.2.1 is valid when F is continuous and
strictly increasing.
(b) Show that the following algorithm is also valid for generating X with distribution
function F* (assume again that F is continuous and strictly increasing):
1. Generate U , U(0, 1).
2. If F(a) # U # F(b), return X 5 F21(U). Otherwise, go back to step 1.
Which algorithm do you think is “better”? In what sense? Under what conditions?

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