Rank: 103356 based on 0 downloads (last 30 days) and 0 file submitted
photo

Alex

E-mail

Personal Profile:

 

Watch this Author's files

 

Comments and Ratings by Alex
Updated File Comments Rating
28 May 2013 Truncated Gaussian Generate a pseudo-random vector X drawn from the truncated Gaussian distribution Author: Bruno Luong

Dear Bruno,

Thanks for sharing this. I noticed that your code uses numerical methods to estimate the effective mean and std of the truncated random variable. Closed-form expressions for these quantities are given by Barr & Sherrill (1999, American Statistician, 53, 357-361), "Mean and Variance of Truncated Normal Distributions." The PDF is available for download from JSTOR: http://www.jstor.org/stable/2686057 I cannot upload the PDF here but will be happy to email it to you if you don't have access to JSTOR. The closed-form solution for the effective variance depends on the ch2cdf function in the Statistics Toolbox.
Another relevant paper is Babu & Mathew (2009, Statistics and Probability Letters, 79, 375-380) "Confidence intervals for limited moments and truncated moments in normal and lognormal moments."
Thanks again for sharing.
-- Alex Petrov
http://alexpetrov.com

Contact us