Perfectly random sampling of truncated multinormal distributions

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The target measure $μ$ is the distribution of a random vector in a box $\cB$, a Cartesian product of bounded intervals. The Gibbs sampler is a Markov chain with invariant measure $μ$. A ``coupling from the past'' construction of the Gibbs sampler is used to show ergodicity of the dynamics and to perfectly simulate $μ$. An algorithm to sample vectors with multinormal distribution truncated to $\cB$ is then implemented.
22 pages, submitted to Journal of Applied Probability

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Probability, Statistics Theory, 60G15, 60G10, 65C05

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http://salesiana.dossiersoluciones.com/handle/123456789/138643

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0505522
 http://arxiv.org/abs/math/0505522

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arXiv