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Communication Dans Un Congrès Année : 2015

Efficient estimation and simulation of the truncated multivariate student-t distribution

Résumé

We propose an exponential tilting method for exact simulation from the truncated multivariate student-t distribution in high dimensions as an alternative to approximate Markov Chain Monte Carlo sampling. The method also allows us to accurately estimate the probability that a random vector with multivariate student-t distribution falls in a convex polytope. Numerical experiments show that the suggested method is significantly more accurate and reliable than its competitors.
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Dates et versions

hal-01240154 , version 1 (08-12-2015)

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  • HAL Id : hal-01240154 , version 1

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Zdravko I. Botev, Pierre L'Ecuyer. Efficient estimation and simulation of the truncated multivariate student-t distribution. 2015 Winter Simulation Conference, Dec 2015, Huntington Beach, United States. ⟨hal-01240154⟩
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