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Answers for “为什么视频使用拒绝采样来获取 $g^*$ 的样本?”

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Rejection sampling is used because g∗g^* is exactly the conditional distribution of XX given X>γX>\gamma. By drawing many samples from the original standard normal distribution and keeping only those that exceed the threshold γ\gamma, the retained samples are distributed according to g∗g^*.

Conditions: Direct sampling from the original distribution X∼Normal(0,1)X \sim \mathrm{Normal}(0,1) is possible.; The acceptance rule is Xi>γX_i > \gamma.