Fast simulation of hyperplane-truncated multivariate normal distributions

DOI10.1214/17-BA1052MaRDI QIDQ1699703zbMATH OpenFDO

Authors Yulai Cong, Bo Chen, Mingyuan Zhou

Publication date 23 February 2018

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1607.04751, https://projecteuclid.org/euclid.ba/1488337478

zbMATH Keywords

high-dimensional regressionconditional distributionCholesky decompositionequality constraintsstructured covariance/precision matrix

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Multivariate distribution of statistics (62H10)

Abstract: We introduce a fast and easy-to-implement simulation algorithm for a multivariate normal distribution truncated on the intersection of a set of hyperplanes, and further generalize it to efficiently simulate random variables from a multivariate normal distribution whose covariance (precision) matrix can be decomposed as a positive-definite matrix minus (plus) a low-rank symmetric matrix. Example results illustrate the correctness and efficiency of the proposed simulation algorithms.

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