Groupe d’études et de recherche en analyse des décisions


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


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.

, 14 pages