Sampling Some Truncated Distributions Via Rejection Algorithms
Purushottam W. Laud, Paul Damien, Thomas S. Shively · Communications in Statistics - Simulation and Computation · 2010
In this article, we develop rejection sampling algorithms to sample from some truncated and tail distributions. Such samplers are needed in many Markov chain Monte Carlo methods, often in connection with Bayesian inference. In addition to univariate normal, gamma, and beta distributions, we consider multivariate normal distributions truncated to certain sets.