Article (Journal/Review)
Perfectly random sampling of truncated multinormal distributions
Fecha
2007-12Registro en:
0938-2259 / 1432-0479
10.1239/aap/1198177235
000253218900008
Ferrari, Pablo/0000-0001-5395-6100
Ferrari, Pablo/G-4816-2015
Autor
Fernandez, Pedro Jesus
Ferrari, Pablo Augusto
Grynberg, Sebastian P.
Institución
Resumen
The target measure mu is the distribution of a random vector in a box B, a Cartesian product of bounded intervals. The Gibbs sampler is a Markov chain with invariant measure mu. A 'coupling from the past' construction of the Gibbs sampler is used to show ergodicity of the dynarnics and to perfectly simulate mu. An algorithm to sample vectors with multinormal distribution truncated to B is then implemented.