Perfect simulation of positive Gaussian distributions

Authors:
Anne Philippe;Christian P. Robert
Affiliations:
Laboratoire de Statistique et Probabilités, FRE CNRS 2222, Université de Lille 1, 59655 Villeneuve D'Ascq cedex, France. anne.philippe@univ-lille1.fr;CREST, INSEE, and CEREMADE, Université Paris Dauphine, 75775 Paris cedex 16, France. xian@ceremade.dauphine.fr
Venue:
Statistics and Computing
Year:
2003

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Abstract

We provide an exact simulation algorithm that produces variables from truncated Gaussian distributions on (\Bbb 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.