Perfectly random sampling of truncated multinormal distributions

DOI10.1239/aap/1198177235zbMath1137.65011arXivmath/0505522OpenAlexW1993011087MaRDI QIDQ5443147

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)

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

zbMATH Keywords

simulationsGibbs samplerperfect samplingmultidimensional distributioncoupling-from-the-past algorithmdiscrete time stationary Markov processnormal and truncated normal distributions

Mathematics Subject Classification ID

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

Related Items (3)

Kalikow-type decomposition for multicolor infinite range particle systems ⋮ Gaussian process modeling with inequality constraints ⋮ Fast simulation of truncated Gaussian distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Tools for statistical inference. Observed data and data augmentation methods
• Marketing models of consumer heterogeneity
• Statistical inference in the multinomial multiperiod probit model
• Sampling-Based Approaches to Calculating Marginal Densities
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• The Calculation of Posterior Distributions by Data Augmentation
• Perfect Simulation of Conditionally Specified Models
• Exact Sampling from a Continuous State Space
• Exact sampling with coupled Markov chains and applications to statistical mechanics

This page was built for publication: Perfectly random sampling of truncated multinormal distributions