Truncated Normal and Student's t-distribution toolbox

Version 2.0 (839 KB) by Zdravko Botev
Perfect simulation from the truncated (multivariate) normal and student's t-distribution.
5.0
(4)
886 Downloads
Updated 4 Feb 2016

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The toolbox includes:
1. fast random number generators from the truncated univariate and multivariate student/normal distributions;
2. (Quasi-) Monte Carlo estimator of the cumulative distribution function of the multivariate student/normal;
3. accurate computation of the quantile function of the normal distribution in the extremes of its tails.
Reference:
Z. I. Botev (2017), The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting, Journal of the Royal Statistical Society, Series B, Volume 79, Part 1, pp. 1-24

Cite As

Zdravko Botev (2024). Truncated Normal and Student's t-distribution toolbox (https://www.mathworks.com/matlabcentral/fileexchange/53796-truncated-normal-and-student-s-t-distribution-toolbox), MATLAB Central File Exchange. Retrieved .

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

Inspired by: Truncated Normal Generator

Inspired: Truncated Normal Generator

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Version Published Release Notes
2.0

- toolbox can now deal with multivariate truncated Student's t-distribution
- updated reference
1.0.0.0