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

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  • William Griffiths

Abstract

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.

Suggested Citation

  • William Griffiths, 2002. "A Gibbs’ Sampler for the Parameters of a Truncated Multivariate Normal Distribution," Department of Economics - Working Papers Series 856, The University of Melbourne.
  • Handle: RePEc:mlb:wpaper:856
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    File URL: http://www.economics.unimelb.edu.au/downloads/wpapers-02/856.pdf
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    1. Griffiths, William E. & Newton, Lisa S. & O'Donnell, Christopher J., 2001. "Predictive Densities for Shire Level Wheat Yield in Western Australia," 2001 Conference (45th), January 23-25, 2001, Adelaide 125645, Australian Agricultural and Resource Economics Society.
    2. Gary Koop & Mark F J Steel, 1999. "Bayesian Analysis of Stochastic Frontier Models," ESE Discussion Papers 19, Edinburgh School of Economics, University of Edinburgh.
    3. John Freebairn & Bill Griffiths, 2006. "Introduction," The Economic Record, The Economic Society of Australia, vol. 82(s1), pages 1-1, September.
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