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