Statistical and Numerical Computing
Published Online: 15 SEP 2006
Copyright © 2002 John Wiley & Sons, Ltd
Encyclopedia of Environmetrics
How to Cite
Storvik, G. 2006. Gibbs Sampling. Encyclopedia of Environmetrics. 2.
- Published Online: 15 SEP 2006
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.