Perfect simulation of positive Gaussian distributions

Philippe, Anne; Robert, Christian P.

dc.contributor.author	Philippe, Anne HAL ID: 3518
dc.contributor.author	Robert, Christian P.
dc.date.accessioned	2011-06-07T10:26:42Z
dc.date.available	2011-06-07T10:26:42Z
dc.date.issued	2003
dc.identifier.uri	https://basepub.dauphine.fr/handle/123456789/6442
dc.language.iso	en	en
dc.subject	accept reject	en
dc.subject	coupling from the past	en
dc.subject	slice sampling	en
dc.subject	stochastic monotonicity	en
dc.subject.ddc	519	en
dc.title	Perfect simulation of positive Gaussian distributions	en
dc.type	Article accepté pour publication ou publié
dc.description.abstracten	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.	en
dc.relation.isversionofjnlname	Statistics and Computing
dc.relation.isversionofjnlvol	13	en
dc.relation.isversionofjnlissue	2	en
dc.relation.isversionofjnldate	2003
dc.relation.isversionofjnlpages	179-186	en
dc.relation.isversionofdoi	http://dx.doi.org/10.1023/A:1023264710933	en
dc.description.sponsorshipprivate	oui	en
dc.relation.isversionofjnlpublisher	Springer	en
dc.subject.ddclabel	Probabilités et mathématiques appliquées	en