Dear friends,
Please find below the code that I have employed for a rejection sampler to draw
from asymmetric laplace distributions. I was wondering if this code can be
written more efficiently? Are there more efficient ways of drawing random
numbers from asymmetric laplace distributions??
Thanks in advance for your help and have a great weekend.
Regards
Anup
***********************************
ral <- function(n,p,s=3)
{
rout <- matrix(0,n)
for(i in 1:n)
{
repeat
{
root <- rnorm(1)
ratio <- dal(val=root, p=p)/(s*dnorm(root))
alpha <- runif(1, min=0, max=1)
if(alpha<ratio)
{break}
}
rout[i,] <- root
}
return(rout)}
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