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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 (2026). Truncated Normal Generator (https://www.mathworks.com/matlabcentral/fileexchange/53180-truncated-normal-generator), MATLAB Central File Exchange. Retrieved .
Acknowledgements
Inspired by: Truncated Normal and Student's t-distribution toolbox
Inspired: Truncated Normal and Student's t-distribution toolbox, Quasi Skewed Truncated Normal Generator, Normal Quantile with Precision
General Information
- Version 1.0.0.0 (3.47 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 | - added some space to reference and a few more keywords Added a title and picture to the submission.
|
