A Gibbs’ Sampler for the Parameters of a Truncated Multivariate Normal Distribution

The inverse distribution function method for drawing randomly from normal and truncated normal distributions is used to set up a Gibbs’ sampler for the posterior density function of the parameters of a truncated multivariate normal distribution. The sampler is applied to shire level rainfall for five shires in Western Australia.

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Year of publication:	2002
Authors:	Griffiths, William
Institutions:	Department of Economics, Faculty of Business and Economics

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Extent:	application/pdf
Series:	Department of Economics - Working Papers Series.
Type of publication:	Book / Working Paper
Notes:	Number 856 16 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005574876