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Perfect simulation of positive Gaussian distributions

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Abstract

We provide an exact simulation algorithm that produces variables from truncated Gaussian distributions on (\(\mathbb{R}\) +)p via a perfect sampling scheme, based on stochastic ordering and slice sampling, since accept-reject algorithms like the one of Geweke (1991) and Robert (1995) are difficult to extend to higher dimensions.

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Authors
  1. Anne Philippe
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  2. Christian P. Robert
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Philippe, A., Robert, C.P. Perfect simulation of positive Gaussian distributions. Statistics and Computing 13, 179–186 (2003). https://doi.org/10.1023/A:1023264710933

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  • DOI: https://doi.org/10.1023/A:1023264710933

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