Truncated Normal and Student's t-distribution toolbox
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
Cite As
Zdravko Botev (2021). Truncated Normal and Student's t-distribution toolbox (https://www.mathworks.com/matlabcentral/fileexchange/53796-truncated-normal-and-student-s-t-distribution-toolbox), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform Compatibility
Windows macOS LinuxCategories
Tags
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!Discover Live Editor
Create scripts with code, output, and formatted text in a single executable document.
