Perfect simulation of positive Gaussian distributions
نویسندگان
چکیده
Anne Philippe Laboratoire de Statistique et Probabilités, FRE CNRS 2222, Université de Lille 1, Bat M2 59655 Villeneuve D’Ascq cedex, France Christian P. Robert CREST, INSEE, and CEREMADE, Université Paris Dauphine, 75775 Paris cedex 16, France Summary. We provide an exact simulation algorithm that produces variables from truncated Gaussian distributions on via a perfect sampling scheme, based on stochastic ordering and slice sampling, since accept–reject algorithms like those of Geweke (1991) or Robert (1994) are difficult to extend to higher dimensions.
منابع مشابه
Perfect simulation of positive Gaussian distributionsy
We provide an exact simulation algorithm that produces variables from truncated Gaussian distributions on (R+)p via a perfect sampling scheme, based on stochastic ordering and slice sampling, since accept–reject algorithms like those of Geweke (1991) or Robert (1994) are difficult to extend to higher dimensions.
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ورودعنوان ژورنال:
- Statistics and Computing
دوره 13 شماره
صفحات -
تاریخ انتشار 2003