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.
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
Comments and Ratings (2)
Updates
| 2.0 | - toolbox can now deal with multivariate truncated Student's t-distribution
|
MATLAB Release Compatibility
Created with
R2015b
Compatible with any release
Platform Compatibility
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Wilson González (view profile)
What can I do to sample from a truncated multivariate Gaussian with non-zero mean when the number of inequality constraints is greater than the dimensionality of the random vector (matrix A is not squared)?
Thanks for sharing. Best regards
Anton Semechko (view profile)
Thanks for making this toolbox available!