Fast Simulation of Hyperplane-Truncated Multivariate Normal Distributions

Bo Chen; Mingyuan Zhou; Yulai Cong

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Fast Simulation of Hyperplane-Truncated Multivariate Normal Distributions

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arxiv 1607.04751 v2 pith:ZHLVRE7T submitted 2016-07-16 stat.CO

Yulai Cong , Bo Chen , Mingyuan Zhou This is my paper · ORCID

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keywords matrixmultivariatenormalsimulationdistributionfastalgorithmalgorithms

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We introduce a fast and easy-to-implement simulation algorithm for a multivariate normal distribution truncated on the intersection of a set of hyperplanes, and further generalize it to efficiently simulate random variables from a multivariate normal distribution whose covariance (precision) matrix can be decomposed as a positive-definite matrix minus (plus) a low-rank symmetric matrix. Example results illustrate the correctness and efficiency of the proposed simulation algorithms.

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