Truncated Normal Generator

Version 1.0.0.0 (3,47 KB) von Zdravko Botev
truncated normal generator
4.6
(11)
2,8K Downloads
Aktualisiert 21. Apr 2016

Lizenz anzeigen

Very fast generator of vectors from the standard multivariate normal or Gaussian distribution, truncated over the region [l,u]. The generator is designed for both speed and accuracy --- especially in the tail of the normal distribution, where the inverse transform method frequently breaks down due to underflow errors.
Reference: Botev, Z. I. (2016). "The normal law under linear restrictions: simulation and estimation via minimax tilting". Journal of the Royal Statistical Society: Series B (Statistical Methodology). doi:10.1111/rssb.12162

For more information, see: https://en.wikipedia.org/wiki/Truncated_normal_distribution

Zitieren als

Zdravko Botev (2024). Truncated Normal Generator (https://www.mathworks.com/matlabcentral/fileexchange/53180-truncated-normal-generator), MATLAB Central File Exchange. Abgerufen.

Kompatibilität der MATLAB-Version
Erstellt mit R2016a
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Veröffentlicht Versionshinweise
1.0.0.0

- added some space to reference and a few more keywords

Added a title and picture to the submission.
- updated reference; algorithm remains unchanged