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One-shot CFTP; Application to a class of truncated Gaussian densities

Beskos, A; Roberts, G; (2005) One-shot CFTP; Application to a class of truncated Gaussian densities. Methodology and Computing in Applied Probability , 7 pp. 407-437. 10.1007/s11009-005-5001-2. Green open access

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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.

Type: Article
Title: One-shot CFTP; Application to a class of truncated Gaussian densities
Open access status: An open access version is available from UCL Discovery
DOI: 10.1007/s11009-005-5001-2
Publisher version: https://doi.org/10.1007/s11009-005-5001-2
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
Keywords: one-shot coupling, read-once coupling from the past,truncated gaussian densities
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science
URI: https://discovery.ucl.ac.uk/id/eprint/10050410
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