A note on simulating hyperplane-truncated multivariate normal distributions

DOI10.1016/J.SPL.2022.109650OpenAlexW4285787515MaRDI QIDQ2081770

Xavier Bay, Hassan Maatouk, Didier Rullière

Publication date: 30 September 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2022.109650

zbMATH Keywords

projectionhyperplanesorthonormal basisconditional Gaussian vectors

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Monte Carlo methods (65C05)

Cites Work

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• Fast update of conditional simulation ensembles
• Computation of multivariate normal and \(t\) probabilities
• Fast simulation of hyperplane-truncated multivariate normal distributions
• A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets
• Numerical evaluation of singular multivariate normal distributions

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