Optimal direction Gibbs sampler for truncated multivariate normal distributions

DOI10.1080/03610918.2015.1053926MaRDI QIDQ5356898zbMATH OpenOpenAlexFDO

Authors J. A. Christen, Mario Santana-Cibrian, Colin Fox

Publication date 20 September 2017

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2015.1053926

zbMATH Keywords

Bayesian inferenceGibbs samplerMCMCsimulationtruncated multivariate normal

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Hypothesis testing in multivariate analysis (62H15)

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Cited in

(3)

• Estimation of a digitised Gaussian ARMA model by Monte Carlo expectation maximisation
• A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets
• A Gibbs' sampler for the parameters of a truncated multivariate normal distribution

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