Perfectly random sampling of truncated multinormal distributions

DOI10.1239/AAP/1198177235MaRDI QIDQ5443147zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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• Exact Sampling from a Continuous State Space
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(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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