Efficient Sampling Methods for Truncated Multivariate Normal and Student-t Distributions Subject to Linear Inequality Constraints

• Published in: Journal of statistical theory and practice Vol. 9; no. 4; pp. 712 - 732
• Main Authors: Li, Yifang, Ghosh, Sujit K.
• Format: Journal Article
• Language: English
• Published: Cham Taylor & Francis 02.10.2015; Springer International Publishing
• Subjects: Gibbs sampler; Mathematics and Statistics; Probability Theory and Stochastic Processes; Rejection sampling; Statistical Theory and Methods; Statistics; Truncated multivariate normal distribution; Truncated multivariate Student-t distribution; Truncated scale mixture of multivariate normal distribution; Gibbs sampler; Rejection sampling; Truncated multivariate Student; Truncated scale mixture of multivariate normal distribution; Truncated multivariate normal distribution; 62E99; distribution

Sampling from a truncated multivariate distribution subject to multiple linear inequality constraints is a recurring problem in many areas in statistics and econometrics, such as the order-restricted regressions, censored data models, and shape-restricted nonparametric regressions. However, the samp...