Perfectly random sampling of truncated multinormal distributions

被引：8

作者：

Fernandez, Pedro J. ^{[1
]}

Ferrari, Pablo A. ^{[2
]}

Grynberg, Sebastian P. ^{[3
]}

机构：

[1] Fundacao Getulio Vargas, BR-22631050 Rio De Janeiro, Brazil

[2] Univ Sao Paulo, Inst Matemat & Estatist, BR-05311970 Sao Paulo, Brazil

[3] Univ Buenos Aires, Fac Ingn, Dept Matemat, RA-1063 Buenos Aires, DF, Argentina

来源：

ADVANCES IN APPLIED PROBABILITY | 2007年 / 39卷 / 04期

关键词：

perfect sampling; simulation; normal distribution;

D O I：

10.1239/aap/1198177235

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The target measure mu is the distribution of a random vector in a box B, 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 dynarnics and to perfectly simulate mu. An algorithm to sample vectors with multinormal distribution truncated to B is then implemented.

引用

页码：973 / 990

页数：18

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