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One-Shot CFTP; Application to a Class of Truncated Gaussian Densities

Author

Listed:
  • A. Beskos

    (Lancaster University)

  • G. O. Roberts

    (Lancaster University)

Abstract

In this paper, we introduce a new method for perfect simulation of multivariate densities. We use One-Shot CFTP (G. Roberts and J. Rosenthal, “One-shot coupling for certain stochastic recursive sequences,” Stochastic Processes and their Applications vol. 99 pp. 195–208, 2002) together with a monotone coupler for the Gibbs sampler, and implement the algorithm within the Read-Once CFTP protocol (D. B. Wilson, “How to couple form the past using a read-once source of randomness,” Random Structures and Algorithms vol. 16(1) pp. 85–113, 2000b). We illustrate our method by simulating efficiently from high-dimensional truncated normal distributions using the Gibbs sampler.

Suggested Citation

  • A. Beskos & G. O. Roberts, 2005. "One-Shot CFTP; Application to a Class of Truncated Gaussian Densities," Methodology and Computing in Applied Probability, Springer, vol. 7(4), pages 407-437, December.
    • Handle: RePEc:spr:metcap:v:7:y:2005:i:4:d:10.1007_s11009-005-5001-2
    DOI: 10.1007/s11009-005-5001-2
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    References listed on IDEAS

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    1. L. A. Breyer & G. O. Roberts, 2001. "Catalytic Perfect Simulation," Methodology and Computing in Applied Probability, Springer, vol. 3(2), pages 161-177, June.
    2. Hajivassiliou, Vassilis & McFadden, Daniel & Ruud, Paul, 1996. "Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 85-134.
    3. 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.
    4. Roberts, Gareth O. & Rosenthal, Jeffrey S., 2002. "One-shot coupling for certain stochastic recursive sequences," Stochastic Processes and their Applications, Elsevier, vol. 99(2), pages 195-208, June.
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