Truncated Normal Generator

version (3.47 KB) by Zdravko Botev
truncated normal generator


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:

Cite As

Zdravko Botev (2022). 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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