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Biometrika 2003 90(2):489-490; doi:10.1093/biomet/90.2.489
© 2003 by Biometrika Trust
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Miscellanea

A counterexample to a claim about stochastic simulations

Bo Henry Lindqvist1, Gunnar Taraldsen2, Magnar Lillegård3 and Steinar Engen3

1 Department of Mathematical Sciences, Norwegian University of Science and Technology, N-7491 Trondheim, Norway bo{at}math.ntnu.no 2 SINTEF Telecom and Informatics, N-7465 Trondheim, Norway gunnar.taraldsen{at}sintef.no 3 Department of Mathematical Sciences, Norwegian University of Science and Technology, N-7491 Trondheim, Norway magnar.lillegard{at}math.ntnu.no steinar.engen{at}math.ntnu.no

Engen & Lillegård (1997) presented a general method for doing Monte Carlo simulations conditioned on a sufficient statistic.The basic idea was to adjust the parameter values in the corresponding unconditional simulation so that the actual value of the sufficient statistic is obtained, and the claim was that if this adjustment is unique then the modified simulation is from the conditional distribution. Unfortunately the claim is not correct, as shown by a counterexample.

Key Words: Conditional distribution; Stochastic simulation; Sufficient statistic

Received April 2002. Revised October 2002


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