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A Uniformly Efficient Rejection Sampler for the Multivariate Expectile-Based Distribution

Power, Sam
arXiv (All) · Papers
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computation
The multivariate expectile-based distribution is a `spiked' perturbation of a multivariate Gaussian distribution, proposed by Arbel et al. in 2023. The rejection sampler proposed for this distribution in the initial work is valid, but its acceptance probability can degenerate badly both in high dime
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