Perfect simulation of positive Gaussian distributions

Philippe, Anne; Robert, Christian P.

Philippe, Anne; Robert, Christian P. (2003), Perfect simulation of positive Gaussian distributions, Statistics and Computing, 13, 2, p. 179-186. http://dx.doi.org/10.1023/A:1023264710933

Voir/Ouvrir

2001-29.pdf (1.366Mb)

2001-29.ps (849.6Kb)

Type

Article accepté pour publication ou publié

Date

2003

Nom de la revue

Statistics and Computing

Volume

Numéro

Éditeur

Springer

Pages

179-186

Résumé (EN)

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 the one of Geweke (1991) and Robert (1995) are difficult to extend to higher dimensions.

Mots-clés

accept reject; coupling from the past; slice sampling; stochastic monotonicity