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a=.9 g<-function(T){ x=rexp(T) v=rt(T,1)<0 x=c(1+x[v],exp(-x/a)[!v]) x[runif(T)<x^a/x/exp(x)/((x>1)*exp(1-x)+a*(x<1)*x^a/x)*a]}
It took me a while to spot the issue, namely that the output of
z=g(T) while(sum(!!z)<T)z=c(z,g(T)) z[1:T]
was favouring simulations from the drifted exponential by truncating. Permuting the elements of z before returning solved the issue (as shown below for a=½)!
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