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The normal law under linear restrictions: simulation and estimation via minimax tilting

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  • Z. I. Botev

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  • Z. I. Botev, 2017. "The normal law under linear restrictions: simulation and estimation via minimax tilting," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(1), pages 125-148, January.
    • Handle: RePEc:bla:jorssb:v:79:y:2017:i:1:p:125-148
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    References listed on IDEAS

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    1. Peter Craig, 2008. "A new reconstruction of multivariate normal orthant probabilities," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(1), pages 227-243, February.
    2. Vassilis A. Hajivassiliou & Daniel L. McFadden, 1998. "The Method of Simulated Scores for the Estimation of LDV Models," Econometrica, Econometric Society, vol. 66(4), pages 863-896, July.
    3. Tetsuhisa Miwa & A. J. Hayter & Satoshi Kuriki, 2003. "The evaluation of general non‐centred orthant probabilities," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 223-234, February.
    4. Jennifer L. Wadsworth & Jonathan A. Tawn, 2014. "Efficient inference for spatial extreme value processes associated to log-Gaussian random functions," Biometrika, Biometrika Trust, vol. 101(1), pages 1-15.
    5. Carsten Botts, 2013. "An accept-reject algorithm for the positive multivariate normal distribution," Computational Statistics, Springer, vol. 28(4), pages 1749-1773, August.
    6. Marc G. Genton & Yanyuan Ma & Huiyan Sang, 2011. "On the likelihood function of Gaussian max-stable processes," Biometrika, Biometrika Trust, vol. 98(2), pages 481-488.
    7. A. Hayter & Y. Lin, 2012. "The evaluation of two-sided orthant probabilities for a quadrivariate normal distribution," Computational Statistics, Springer, vol. 27(3), pages 459-471, September.
    8. Enkelejd Hashorva & Jürg Hüsler, 2003. "On multivariate Gaussian tails," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(3), pages 507-522, September.
    9. Mathieu Gerber & Nicolas Chopin, 2015. "Sequential quasi Monte Carlo," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 77(3), pages 509-579, June.
    10. Vijverberg, Wim P. M., 1997. "Monte Carlo evaluation of multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 281-307.
    11. R. Huser & A. C. Davison, 2013. "Composite likelihood estimation for the Brown--Resnick process," Biometrika, Biometrika Trust, vol. 100(2), pages 511-518.
    12. David Bolin & Finn Lindgren, 2015. "Excursion and contour uncertainty regions for latent Gaussian models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 77(1), pages 85-106, January.
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