Perfectly random sampling of truncated multinormal distributions

Details Perfectly random sampling of truncated multinormal distributions Perfectly random sampling of truncated multinormal distributions

2005-05-25

arxiv.org/abs/math/0505522v2

Mathematics

Probability

22 pages, submitted to Journal of Applied Probability

Scientific paper

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.

Affiliated with

Also associated with

No associations

Rating

Perfectly random sampling of truncated multinormal distributions does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Perfectly random sampling of truncated multinormal distributions, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Perfectly random sampling of truncated multinormal distributions will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-641922