Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
 
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 those of Geweke (1991) or Robert (1994) are difficult to extend to higher dimensions.
 
 
PERFECT SIMULATION OF POSITIVE GAUSSIAN DISTRIBUTIONS
PHILIPPE Anne, ROBERT Christian P.
2001-29
27-10-2001
 
Université de PARIS - DAUPHINE
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