A Gibbs’ Sampler for the Parameters of a Truncated Multivariate Normal Distribution

William Griffiths ()

No 856, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: The inverse distribution function method for drawing randomly from normal and truncated normal distributions is used to set up a Gibbs’ sampler for the posterior density function of the parameters of a truncated multivariate normal distribution. The sampler is applied to shire level rainfall for five shires in Western Australia.

Pages: 16 pages
Date: 2002
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Citations: View citations in EconPapers (2)

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