One-Shot CFTP; Application to a Class of Truncated Gaussian Densities

A. Beskos () and G. O. Roberts ()
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A. Beskos: Lancaster University
G. O. Roberts: Lancaster University

Methodology and Computing in Applied Probability, 2005, vol. 7, issue 4, 407-437

Abstract: Abstract In this paper, we introduce a new method for perfect simulation of multivariate densities. We use One-Shot CFTP (G. Roberts and J. Rosenthal, “One-shot coupling for certain stochastic recursive sequences,” Stochastic Processes and their Applications vol. 99 pp. 195–208, 2002) together with a monotone coupler for the Gibbs sampler, and implement the algorithm within the Read-Once CFTP protocol (D. B. Wilson, “How to couple form the past using a read-once source of randomness,” Random Structures and Algorithms vol. 16(1) pp. 85–113, 2000b). We illustrate our method by simulating efficiently from high-dimensional truncated normal distributions using the Gibbs sampler.

Keywords: one-shot coupling; read-once coupling from the past; truncated gaussian densities (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s11009-005-5001-2

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