# The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting

@article{Botev2016TheNL, title={The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting}, author={Zdravko I. Botev}, journal={arXiv: Computation}, year={2016} }

Simulation from the truncated multivariate normal distribution in high dimensions is a recurrent problem in statistical computing, and is typically only feasible using approximate MCMC sampling. In this article we propose a minimax tilting method for exact iid simulation from the truncated multivariate normal distribution. The new methodology provides both a method for simulation and an efficient estimator to hitherto intractable Gaussian integrals. We prove that the estimator possesses a rare…

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