RANDOM SAMPLING FROM A TRUNCATED MULTIVARIATE NORMAL-DISTRIBUTION

被引：17

作者：

BRESLAW, JA ^{[1
]}

机构：

[1] CONCORDIA UNIV,DEPT ECON,MONTREAL H3G 1M8,QUEBEC,CANADA

来源：

APPLIED MATHEMATICS LETTERS | 1994年 / 7卷 / 01期

关键词：

GIBBS SAMPLER; MULTIVARIATE NORMAL DISTRIBUTION; TRUNCATED DISTRIBUTION; SIMULATION METHODS;

D O I：

10.1016/0893-9659(94)90042-6

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This note critiques a procedure suggested by Ahmad and Abd-El-Hakim for drawing random samples from a truncated bivariate normal distribution. An alternative methodology using the Gibbs sampler is described. The techniques can be used for sampling from a truncated multivariate normal distribution. The GAUSS code is included as an appendix.

引用

页码：1 / 6

页数：6

共 7 条

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WING, HW
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1987, 82 (398) : 528 - 540
[7] [No title captured]

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