# 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={Journal of the Royal Statistical Society: Series B (Statistical Methodology)}, year={2016}, volume={79} }

Simulation from the truncated multivariate normal distribution in high dimensions is a recurrent problem in statistical computing and is typically only feasible by using approximate Markov chain Monte Carlo sampling. We propose a minimax tilting method for exact independently and identically distributed data simulation from the truncated multivariate normal distribution. The new methodology provides both a method for simulation and an efficient estimator to hitherto intractable Gaussian…

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