Efficient Simulation from the Multivariate Normal and Student-t Distributions Subject to Linear Constraints and the Evaluation of Constraint Probabilities
نویسنده
چکیده
The construction and implementation of a Gibbs sampler for efficient simulation from the truncated multivariate normal and Student-t distributions is described. It is shown how the accuracy and convergence of integrals based on the Gibbs sample may be constructed, and how an estimate of the probability of the constraint set under the unrestricted distribution may be produced.
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