Fast simulation of truncated Gaussian distributions |
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Authors: | Nicolas Chopin |
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Institution: | 1. ENSAE-CREST, 3, Avenue Pierre Larousse, 92245, Malakoff Cedex, France
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Abstract: | We consider the problem of simulating a Gaussian vector X, conditional on the fact that each component of X belongs to a finite interval a i ,b i ], or a semi-finite interval a i ,+??). In the one-dimensional case, we design a table-based algorithm that is computationally faster than alternative algorithms. In the two-dimensional case, we design an accept-reject algorithm. According to our calculations and numerical studies, the acceptance rate of this algorithm is bounded from below by 0.5 for semi-finite truncation intervals, and by 0.47 for finite intervals. Extension to three or more dimensions is discussed. |
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