G ibbs Sampling
Geir Olve Storvik · Encyclopedia of Environmetrics · 2001
Abstract Stochastic simulation is an important part of statistical computing as well as a much‐used numerical tool for calculating integrals in other fields (Monte Carlo integration). For low‐dimensional problems inversion/transformation or rejection sampling can be applied for simulating from a specific distribution. When working with real problems, simulation from high‐dimensional distributions often becomes necessary. Gibbs sampler is an algorithm for simulation in high‐dimensional spaces.