Sample a truncated multivariate normal distribution

Version 1.0.0 (1,56 KB) von Yavor Kamer
Generates samples from a MVN within a lower and upper bound.
117 Downloads
Aktualisiert 24. Okt 2018

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There exist many implementations on FEX solving the same problem, I wasn't very confident in using them as they sometimes failed to converge (using fsolve etc) or would generate warnings complaining about the covariance matrix being close to singular.
This is a simple brute-force method that records the accepted samples, adjusts the trial size and repeats until it has reached the target sample number.

Zitieren als

Yavor Kamer (2025). Sample a truncated multivariate normal distribution (https://de.mathworks.com/matlabcentral/fileexchange/69201-sample-a-truncated-multivariate-normal-distribution), MATLAB Central File Exchange. Abgerufen.

Kompatibilität der MATLAB-Version
Erstellt mit R2015b
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Version Veröffentlicht Versionshinweise
1.0.0