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

Abstract : 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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https://hal.inria.fr/hal-01240154
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Submitted on : Tuesday, December 8, 2015 - 5:10:56 PM
Last modification on : Thursday, January 7, 2021 - 4:20:33 PM
Long-term archiving on: : Wednesday, March 9, 2016 - 3:38:28 PM

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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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