Truncated Multivariate Normal Generator

Version 1.0.0.0 (10.3 KB) by Zdravko Botev
(perfect) sampling from the truncated multivariate normal density
5.0
(4)
626 Downloads
Updated 3 Nov 2015

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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)

Cite As

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

MATLAB Release Compatibility
Created with R2015b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired: Truncated Multivariate Normal Moments

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Version Published Release Notes
1.0.0.0