Standard Article

Gibbs Sampling

Statistical and Numerical Computing

  1. Geir Storvik

Published Online: 15 SEP 2006

DOI: 10.1002/9780470057339.vag018

Encyclopedia of Environmetrics

Encyclopedia of Environmetrics

How to Cite

Storvik, G. 2006. Gibbs Sampling. Encyclopedia of Environmetrics. 2.

Author Information

  1. University of Oslo, Norway

Publication History

  1. Published Online: 15 SEP 2006

Abstract

Stochastic simulation is an important part of statistical computing as well as a much-used numerical tool for calculating integrals in other fields (Monte Carlo integration). For low-dimensional problems inversion/transformation or rejection sampling can be applied for simulating from a specific distribution. When working with real problems, simulation from high-dimensional distributions often becomes necessary. Gibbs sampler is an algorithm for simulation in high-dimensional spaces.