The rejection Gibbs coupler: A perfect sampling algorithm and its application to truncated multivariate Gaussian distributions

被引：0
|
作者：
Huang, YF [1 ]
Ghirmai, T [1 ]
Djuric, PM [1 ]
机构：
[1] SUNY Stony Brook, Dept Elect & Comp Engn, Stony Brook, NY 11794 USA
来源：
2001 IEEE WORKSHOP ON STATISTICAL SIGNAL PROCESSING PROCEEDINGS | 2001年
关键词：
D O I：
10.1109/SSP.2001.955217
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Recently, a new Markov chain based algorithm for drawing samples from a desired distribution has been proposed. This algorithm, also known as perfect sampling algorithm, can determine exactly when a Markov chain enters the equilibrium, and hence can output exact samples. In this paper, we introduce a perfect sampling algorithm called the rejection Gibbs coupler for perfect sampling from bounded multivariate distributions. We demonstrate an application of the rejection coupler for generation of samples from truncated multivariate Gaussian distributions.
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页码：42 / 45
页数：4
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