EFFICIENT ESTIMATION AND SIMULATION OF THE TRUNCATED MULTIVARIATE STUDENT-t DISTRIBUTION
Year: 2015
Type: article
Abstract: We propose an exponential tilting method for exact simulation from the truncated multivariate student-t distribution in high dimensions as an alternative to approximate Markov Chain Monte Carlo sampling. The method also allows us to accurately estimate the probability that a random vector with multivariate student-t distribution falls in a convex polytope. Numerical experiments show that the suggested method is significantly more accurate and reliable than its competitors. 1
Authors: Botev, Zdravko I., L'Ecuyer, Pierre
Institutions: The University of Sydney, Université de Montréal
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2596616627