Multivariate Gaussian Simulation Outside Arbitrary Ellipsoids
نویسندگان
چکیده
منابع مشابه
Multivariate Gaussian Simulation Outside Arbitrary Ellipsoids
Methods for simulation from multivariate Gaussian distributions restricted to be from outside an arbitrary ellipsoidal region are often needed in applications. A standard rejection algorithm that draws a sample from a multivariate Gaussian distribution and accepts it if it is outside the ellipsoid is often employed: however, this is computationally inefficient if the probability of that ellipso...
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ژورنال
عنوان ژورنال: Journal of Computational and Graphical Statistics
سال: 2007
ISSN: 1061-8600,1537-2715
DOI: 10.1198/106186007x238431