Accession Number : ADP007215
Title : Efficient Simulation from the Multivariate Normal and Student-t Distributions Subject to Linear Constraints,
Corporate Author : MINNESOTA UNIV MINNEAPOLIS DEPT OF ECONOMICS
Personal Author(s) : Geweke, John
Report Date : 1992
Pagination or Media Count : 8
Abstract : The construction and implementation of a Gibbs sampler for efficient simulation from the truncated multivariate normal and Student-t distributions is described. It is shown how the accuracy and convergence of integrals based on the Gibbs sample may be constructed. Bayesian inference; Gibbs sampler; Monte Carlo; Multiple integration, Truncated normal.
Descriptors : *INTEGRALS, *INTEGRATION, *MONTE CARLO METHOD, ACCURACY, CONSTRUCTION, CONVERGENCE, SAMPLERS, SIMULATION, STUDENTS.
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE