trandn function

Fast truncated normal generator

Efficient state-of-the-art generator of a vector of length(l)=length(u)

from the standard multivariate normal distribution truncated over the region $[l,u]$. Infinite values for u and l are accepted.

trandn(l, u)

Arguments

• l: lower truncation limit
• u: upper truncation limit

Returns

random variable drawn from the truncated normal distribution

Details

Suppose we wish to simulate a random variable $Z$ drawn from $N(\mu,\sigma^2)$ and conditional on $l<Z<u$ using the inverse transform method. To achieve this, first compute X=norminvp(runif(1),(l-mu)/sig,(u-mu)/sig) and then set Z=mu+sig*X

Note

Use norminvp for the (slower) inverse transform method of simulating truncated normal variables.

Examples

trandn(l = 1,u = Inf)
trandn(l = rep(1, 10), u = rep(Inf, 10))

References

Z. I. Botev (2017), The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting, Journal of the Royal Statistical Society, Series B, 79 (1), pp. 1--24.

See Also

norminvp

Author(s)

Zdravko I. Botev