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20222025
most citedLinear-Cost Vecchia Approximation of Multivariate Normal Probabilities

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stat.CO2024

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

Jian Cao, Matthias Katzfuss

We propose a linear-complexity method for sampling from truncated multivariate normal (TMVN) distributions with high fidelity by applying nearest-neighbor approximations to a produ…