Monte Carlo conditioning on a sufficient statistic

Bo Henry Lindqvist and Gunnar Taraldsen

Biometrika, 2005, vol. 92, issue 2, 451-464

Abstract: In this paper we derive general formulae suitable for Monte Carlo computation of conditional expectations of functions of a random vector given a sufficient statistic. The problem of direct sampling from the conditional distribution is considered in particular. It is shown that this can be done by a simple parameter adjustment of the original statistical model, provided the model has a certain pivotal structure. A connection with a classical problem regarding fiducial and posterior distributions is pointed out. Copyright 2005, Oxford University Press.

Date: 2005
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