Fast simulation of truncated Gaussian distributions

DOI10.1007/s11222-009-9168-1zbMath1284.65015arXiv1201.6140OpenAlexW2051378923WikidataQ59411863 ScholiaQ59411863MaRDI QIDQ692973

Nicolas Chopin

Publication date: 6 December 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.6140

zbMATH Keywords

Markov chain Monte Carloaccept-rejecttail Gaussian distributiontruncated Gaussian distribution

Mathematics Subject Classification ID

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Uses Software

• GMRFLib
• Ziggurat
• AS 241
• rnorrexp

Cites Work

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• The Calculation of Posterior Distributions by Data Augmentation
• Rational Chebyshev Approximations for the Inverse of the Error Function
• Analysis of multivariate probit models
• A rejection technique for sampling from T -concave distributions
• A simple method for generating gamma variables
• Automatic sampling with the ratio-of-uniforms method
• Gaussian Markov Random Fields
• Adaptive Rejection Sampling for Gibbs Sampling
• Bayesian Analysis of Binary and Polychotomous Response Data
• Perfectly random sampling of truncated multinormal distributions

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