g(y) = (b/2) exp(-b|y|).
Show that the Laplace distribution (or some multiple of it) can be used for rejection sampling to generate a standard normal random variable. i.e. find M such that f(x) is less than or equal to M g(x) for all x.
2) What is the acceptance probability? What choice of b maximizes this?
3) Implement the above algorithm in C or FORTRAN. Turn in a documented program with instructions on how to compile and run it by email to clyde@stat.duke.edu.