Scalable Sampling of Truncated Multivariate Normals Using Sequential Nearest-Neighbor Approximation

J Cao, M Katzfuss - arxiv preprint arxiv:2406.17307, 2024 - arxiv.org
We propose a linear-complexity method for sampling from truncated multivariate normal
(TMVN) distributions with high fidelity by applying nearest-neighbor approximations to a …