Title :
The rejection Gibbs coupler: A perfect sampling algorithm and its application to truncated multivariate Gaussian distributions
Author :
Yufei Huang;T. Ghirmai;P.M. Djuric
Author_Institution :
Dept. of Electr. & Comput. Eng., State Univ. of New York, Stony Brook, NY, USA
fDate :
6/23/1905 12:00:00 AM
Abstract :
A new Markov chain based algorithm for drawing samples from a desired distribution has been proposed. This algorithm, also known as the perfect sampling algorithm, can determine exactly when a Markov chain enters the equilibrium, and hence can output exact samples. 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.
Keywords :
"Sampling methods","Signal processing algorithms","Application software","Signal sampling","Gaussian distribution","State-space methods","Engineering drawings","Monte Carlo methods","Signal processing","Bayesian methods"
Conference_Titel :
Statistical Signal Processing, 2001. Proceedings of the 11th IEEE Signal Processing Workshop on
Print_ISBN :
0-7803-7011-2
DOI :
10.1109/SSP.2001.955217
