Perfect simulation of positive Gaussian distributions

ANNE PHILIPPE; CHRISTIAN P. ROBERT

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Perfect simulation of positive Gaussian distributions

机译：正高斯分布的完美模拟

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摘要

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 Gcweke (1991) and Robert (1995) are difficult to extend to higher dimensions.

机译：我们提供了一种精确的模拟算法，该算法基于随机排序和切片采样，通过理想的采样方案，通过（R _ +）〜p上的截断的高斯分布产生变量，这是因为接受拒绝算法（例如Gcweke（1991）和Robert（（1995年）很难扩展到更高的维度。

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来源
《Statistics and computing》 |2003年第2期|p.179-186|共8页
作者
ANNE PHILIPPE; CHRISTIAN P. ROBERT;
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作者单位

Laboratoire de Statistique et Probabilites, FRE CNRS 2222, Universite de Lille 1, 59655 Villeneuve D 'Ascq cedex, France;

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原文格式 PDF
正文语种 eng
中图分类统计学;
关键词
accept reject; coupling from the past; slice sampling; stochastic monotonicity;

机译：接受拒绝;与过去的耦合;切片采样;随机单调性;

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Perfect simulation of positive Gaussian distributions

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