A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets

DOI10.1007/978-3-319-33507-0_27zbMath1356.65012OpenAlexW2467360081MaRDI QIDQ2957054

Xavier Bay, Hassan Maatouk

Publication date: 20 January 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-33507-0_27

zbMATH Keywords

algorithmnumerical examplesMonte Carlo methodrejection samplingmultivariate normal distributionstruncated Gaussian vector

Mathematics Subject Classification ID

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• An accept-reject algorithm for the positive multivariate normal distribution
• Gaussian process emulators for computer experiments with inequality constraints
• Sampling Some Truncated Distributions Via Rejection Algorithms
• Adaptive Rejection Sampling for Gibbs Sampling

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