Perfectly random sampling of truncated multinormal distributions

Authors
Fernández, Pedro J. Ferrari, Pablo A. Grynberg, Sebastian P.
Citation
J. Fernández, Pedro et al., Perfectly random sampling of truncated multinormal distributions, Advances in applied probability , 39(2), 2007, pp. 973-990
Journal title
Advances in applied probability → ACNP
ISSN journal
00018678
Volume
39
Issue
2
Year of publication
2007
Pages
973 - 990
Database
ACNP
SICI code
Abstract
The target measure . is the distribution of a random vector in a box ., a Cartesian product of bounded intervals. The Gibbs sampler is a Markov chain with invariant measure .. A .coupling from the past. construction of the Gibbs sampler is used to show ergodicity of the dynamics and to perfectly simulate .. An algorithm to sample vectors with multinormal distribution truncated to . is then implemented.