another, older, truncated Normal algorithm [X’ed]
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This entry was posted on September 23, 2024 at 12:24 am and is filed under Books, pictures, Statistics, University life with tags accept-reject algorithm, Boeing, cross validated, George Marsaglia, John Geweke, Stack Exchange, truncated normal. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.
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Xi'an's Og
October 2, 2024 at 1:52 am
Interesting — on a quick look, this seems to be a rejection sampler?
On a related note, we recently came up with a neat trick for doing blocked Gibbs sampling that involves high-dimensional truncated Gaussian. (pg. 12-13 https://arxiv.org/pdf/2309.09371 )
October 2, 2024 at 11:40 am
Yes, this is another accept-reject sampler. Thanks for the pointer to your paper.