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The probability that an event A will occur, when another event B is known to occur or to have occurred. It is commonly denoted by P(A|B).

1 vote
1 answer
1k views

Correlated brownian interpolation

I would like to generate conditional correlated random variables. I have a correlation matrix between normal variables, and these variables are modeled through SDEs. What are the algorithms to gener …
adam's user avatar
  • 607
6 votes
3 answers
306 views

conditional sampling of bivariate normals

I would like to generate random samples from a bivariate normal distribution under a condition. First normal variable is $\varepsilon_1$ , and second normal is $\varepsilon_2$. The condition is $\var …
adam's user avatar
  • 607
1 vote

conditional sampling of bivariate normals

I have used the Gibbs sampling approach. This way only the beginning of the Gibbs sampling is thrown out (stabilization period). Thus number of waisted samples is not increasing with the number of req …
adam's user avatar
  • 607