Truncated Multivariate Normal Generator

Version 1.0.0.0 (10,3 KB) von Zdravko Botev
(perfect) sampling from the truncated multivariate normal density
5.0
(4)
625 Downloads
Aktualisiert 3. Nov 2015

Lizenz anzeigen

Simulates 'n' random vectors exactly (perfectly) distributed from the d-dimensional N(0,Sig) distribution (zero-mean normal with covariance 'Sig'), conditional on l<X<u. Infinite values for the truncation limits 'l' and 'u' are accepted.
Reference: Z. I. Botev (2015), "The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting", submitted to JRSS(B)

Zitieren als

Zdravko Botev (2024). Truncated Multivariate Normal Generator (https://www.mathworks.com/matlabcentral/fileexchange/53792-truncated-multivariate-normal-generator), MATLAB Central File Exchange. Abgerufen .

Kompatibilität der MATLAB-Version
Erstellt mit R2015b
Kompatibel mit allen Versionen
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Version Veröffentlicht Versionshinweise
1.0.0.0