Truncated Normal Generator

Version 1.0.0.0 (3.47 KB) by Zdravko Botev
truncated normal generator
4.6
(11)
2.8K Downloads
Updated 21 Apr 2016

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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

Cite As

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

MATLAB Release Compatibility
Created with R2016a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
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