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Generation of a random sample from a multivariate normal distribution

✍ Scribed by M.P. Derde; D.L. Massart

Publisher
Elsevier Science
Year
1984
Tongue
English
Weight
342 KB
Volume
3
Category
Article
ISSN
0165-9936

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πŸ“œ SIMILAR VOLUMES

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A simple and easily implemented algorithm is presented for obtaining random variables from a truncated standard normal distribution. The algorithm is based on a generalization of Von Neumann's rejection technique. The first-stage sampling in our algorithm is from the truncated logistic distribution.

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Given a sequence XI,X2 .... of iid random vectors, call X. a record if there is a record simultaneously in all coordinates at index n. We study the asymptotic behaviour of the probability that X, is a record under the assumption that the underlying distribution is normal.