Monte Carlo conditioning on a sufficient statistic

• 成果类型: Article
• 署名作者: Lindqvist, BH; Taraldsen, G
• 署名单位: Norwegian University of Science & Technology (NTNU); SINTEF
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/92.2.451
• 发表日期: 2005
• 页码: 451464
• 关键词: fiducial theory

摘要

In this paper we derive general formulae suitable for Monte Carlo computation of conditional expectations of functions of a random vector given a sufficient statistic. The problem of direct sampling from the conditional distribution is considered in particular. It is shown that this can be done by a simple parameter adjustment of the original statistical model, provided the model has a certain pivotal structure. A connection with a classical problem regarding fiducial and posterior distributions is pointed out.