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20 April 2024

» arxiv » math.PR/0505522

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Perfectly random sampling of truncated multinormal distributions
Pedro J. Fernandez ; Pablo A. Ferrari ; Sebastian Grynberg ;
Date:	25 May 2005
Subject:	Probability; Statistics MSC-class: 60G15 60G10 65C05 \| math.PR math.ST
Abstract:	A "coupling from the past" construction of the Gibbs sampler process is used to perfectly simulate a random vector in a box B, a Cartesian product of bounded intervals. An algorithm to sample vectors with multinormal distribution truncated to B is implemented.
Source:	arXiv, math.PR/0505522
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