Perfectly random sampling of truncated multinormal distributions

DOI10.1239/AAP/1198177235zbMATH Open1137.65011arXivmath/0505522OpenAlexW1993011087MaRDI QIDQ5443147FDOQ5443147

Authors: Pedro Jesus Fernandez, Pablo A. Ferrari, Sebastian P. Grynberg 

Publication date: 20 February 2008

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: The target measure $mu$ is the distribution of a random vector in a box $cB$, a Cartesian product of bounded intervals. The Gibbs sampler is a Markov chain with invariant measure $mu$. A ``coupling from the past construction of the Gibbs sampler is used to show ergodicity of the dynamics and to perfectly simulate $mu$. An algorithm to sample vectors with multinormal distribution truncated to $cB$ is then implemented.

Full work available at URL: https://arxiv.org/abs/math/0505522

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• scientific article; zbMATH DE number 1560256

zbMATH Keywords

Gibbs samplersimulationsperfect samplingmultidimensional distributioncoupling-from-the-past algorithmdiscrete time stationary Markov processnormal and truncated normal distributions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sampling theory, sample surveys (62D05) Approximations to statistical distributions (nonasymptotic) (62E17) Discrete-time Markov processes on general state spaces (60J05)

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Cited In (7)

• One-shot CFTP; application to a class of truncated Gaussian densities
• A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets
• Fast simulation of truncated Gaussian distributions
• Kalikow-type decomposition for multicolor infinite range particle systems
• Gaussian process modeling with inequality constraints
• Random sampling from a truncated bivariate normal distribution
• Efficient algorithms for generating truncated multivariate normal distributions

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