Adaptive Rejection Sampling incorrect #61
Description
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 reported on code.google.com by leviboy...@gmail.com on 27 Aug 2013 at 11:20