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Simulation of truncated normal variables |
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| Authors: | Christian P Robert |
| Institution: | (1) URA CNRS 1378, Université de Rouen and CREST, Insee, Paris, France |
| Abstract: | We provide simulation algorithms for one-sided and two-sided truncated normal distributions. These algorithms are then used to simulate multivariate normal variables with convex restricted parameter space for any covariance structure. |
| Keywords: | Accept-reject Gibbs sampling Markov chain Monte Carlo censored models order-restricted models |
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