Fast simulation of hyperplane-truncated multivariate normal distributions

DOI10.1214/17-BA1052zbMath1384.65014arXiv1607.04751MaRDI QIDQ1699703

Mingyuan Zhou, Bo Chen, Yulai Cong

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

zbMATH Keywords

equality constraintsconditional distributionhigh-dimensional regressionCholesky decompositionstructured covariance/precision matrix

Mathematics Subject Classification ID

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

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