An Accept-Reject Algorithm For the Positive Multivariate Normal Distribution

نویسنده

  • Carsten Botts
چکیده

The need to simulate from a positive multivariate normal distribution arises in several settings, specifically in Bayesian analysis. A variety of algorithms can be used to sample from this distribution, but most of these algorithms involve Gibbs sampling. Since the sample is generated from a Markov chain, the user has to account for the fact that sequential draws in the sample depend on one another and that the sample generated only follows a positive multivariate normal distribution asymptotically. The user would not have to account for such issues if the sample generated was i.i.d. In this paper, an accept-reject algorithm is introduced in which variates from a positive multivariate normal distribution are proposed from a multivariate skew-normal distribution. This new algorithm generates an i.i.d. sample and is shown, under certain conditions, to be very efficient.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Optimal Stopping Policy for Multivariate Sequences a Generalized Best Choice Problem

  In the classical versions of “Best Choice Problem”, the sequence of offers is a random sample from a single known distribution. We present an extension of this problem in which the sequential offers are random variables but from multiple independent distributions. Each distribution function represents a class of investment or offers. Offers appear without any specified order. The objective is...

متن کامل

Simulation of Positive Normal Variables Using Several Proposal Distributions

In this paper, we propose a new methodology to generate random variables distributed according to a Gaussian with positive support. We narrow the study to the univariate case. The method consists in an accept-reject algorithm in which a previous step is added consisting in choosing among several proposal distributions the one which gives the highest average probability of acceptance for given p...

متن کامل

Simuler une distribution normale à support positif à partir de plusieurs lois candidates

In this article, we provide an accept-reject algorithm to simulate positive normal variables in the univariate case. The main idea consists in determining among different proposal distributions a priori chosen the one which gets the highest average probability of acceptation, depending on the shape of the target distribution. It yields a fast method since it generates low reject.

متن کامل

Rao Blackwellization of Generalized Accept Reject Schemes

This paper extends the accept reject algorithm to allow the pro posal distribution to change at each iteration We rst establish a necessary and su cient condition for this generalized accept reject al gorithm to be valid and then show how the Rao Blackwellization of Casella and Robert can be extended to this setting An impor tant application of these results is to the perfect sampling technique...

متن کامل

TESTING STATISTICAL HYPOTHESES UNDER FUZZY DATA AND BASED ON A NEW SIGNED DISTANCE

This paper deals with the problem of testing statisticalhypotheses when the available data are fuzzy. In this approach, wefirst obtain a fuzzy test statistic based on fuzzy data, and then,based on a new signed distance between fuzzy numbers, we introducea new decision rule to accept/reject the hypothesis of interest.The proposed approach is investigated for two cases: the casewithout nuisance p...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2010