Suppose we want to generate random variable with the PDF . To use the rejection method, we have to find another random variable with the PDF and a constant such that
                                   
      Before giving a justification for the method, let us state the steps of the rejection method

  Steps of the Rejection method

      Step 1

            Generate number with the PDF and a random number from .

      Step 2

            If output . Else go to step 1.

      We now prove that the random variable Y generated by the rejection method has the PDF .