Simulating large Gaussian random vectors subject to inequality constraints by Gibbs sampling

DOI10.1007/s11004-013-9495-9zbMath1322.65030OpenAlexW2016431642MaRDI QIDQ748103

Xavier Emery, Daisy Arroyo, María José Peláez

Publication date: 19 October 2015

Published in: Mathematical Geosciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11004-013-9495-9

zbMATH Keywords

simulated annealingMarkov chainGibbs samplerGaussian random fieldkriging neighborhoodrestriction of transition matrix

Mathematics Subject Classification ID

Related Items (6)

Stochastic model of conditional non-stationary time series of the wind chill index in West Siberia ⋮ Gaussian process emulators for computer experiments with inequality constraints ⋮ Simulation of intrinsic random fields of order \(k\) with Gaussian generalized increments by Gibbs sampling ⋮ Geostatistical modelling of cyclic and rhythmic facies architectures ⋮ Multivariate categorical modeling with hierarchical truncated pluri-Gaussian simulation ⋮ Conditioning geological surfaces to horizontal wells

Uses Software

• tmvtnorm

Cites Work

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• Optimizing random scan Gibbs samplers
• Comparing sweep strategies for stochastic relaxation
• Rate of convergence of the Gibbs sampler in the Gaussian case
• Markov chains for exploring posterior distributions. (With discussion)
• Conditional simulation of random fields with bivariate gamma isofactorial distributions
• Geostatistics

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