# Efficient Simulation from the Multivariate Normal and Student-t Distributions Subject to Linear Constraints and the Evaluation of Constraint Probabilities

@inproceedings{Geweke1991EfficientSF, title={Efficient Simulation from the Multivariate Normal and Student-t Distributions Subject to Linear Constraints and the Evaluation of Constraint Probabilities}, author={John Geweke}, year={1991} }

John GewekeDepartment of EconomicsUniversity of MinnesotaMinneapolis, MN 55455First draft: April, 1991Phone: (612)625-7563 Fax: (612)624-0209E-mail: geweke@atlas.socsci.umn.eduAbstractThe construction and implementation of a Gibbs sampler for efficient simulation from thetruncated multivariate normal and Student-t distributions is described. It is shown how theaccuracy and convergence of integrals based on the Gibbs sample may be constructed, andhow an estimate of the probability of the…

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