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Joshua C. C. Chan

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Preprint Aug 2026

Exact Rejection Sampling for Non-Gaussian State Space Models

This work constructs a proposal that dominates the target by a known constant, generally unavailable for non-Gaussian state space models, yielding independent exact smoothing draws and an unbiased likelihood estimator whose relative variance is at most $1/p-1$ per draw at acceptance probability $p$.

Joshua C. C. Chan · 0 citations