RESEARCH PAPER NO. 856

A GIBB'S SAMPLER FOR THE PARAMETERS OF A TRUNCATED MULTIVARIATE NORMAL DISTRIBUTION

BY

WILLIAM GRIFFITHS

AUGUST 2002

Department of Economics. University of Melbourne. Melbourne Victoria 3010 Australia

The inverse distribution function method for drawing randomly from normal and truncated normal distributions is used to set up a Gibbs' sampler for the posterior density function of the parameters of a truncated multivariate normal distribution.  The sampler is applied to shire level rainfall for five shires in Western Australia.

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