Perfect simulation of positive Gaussian distributions

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Anne Philippe, Christian P. Robert

Published: 01 Jan 2003, Last Modified: 04 Oct 2024Stat. Comput. 2003EveryoneRevisionsBibTeXCC BY-SA 4.0
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 the one of Geweke (1991) and Robert (1995) are difficult to extend to higher dimensions.