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Truncated Normal and Student's t-distribution toolbox

version 2.0.0.0 (839 KB) by Zdravko Botev
Perfect simulation from the truncated (multivariate) normal and student's t-distribution.

12 Downloads

Updated 04 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

Comments and Ratings (2)

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

Thanks for making this toolbox available!

Updates

2.0.0.0

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

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

Inspired by: Truncated Normal Generator

Inspired: Truncated Normal Generator

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