Advances and Applications in Statistics
Volume 13, Issue 2, Pages 165 - 179
(December 2009)
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EXACT SAMPLING FROM THE STUDENT’S t MODEL
Dobrin Marchev (Australia) and James P. Hobert (U.S.A.)
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and
the scale matrix
Direct analysis of the resulting posterior distribution of
is challenging and MCMC methods have been developed in the literature to
make draws from this intractable density. In this paper, we propose a method for
obtaining an independent and identically distributed (iid) sample from the
target posterior density based on the accept-reject method.