Truncated Normal and Student's t-distribution toolbox

Versión 2.0 (839 KB) por Zdravko Botev
Perfect simulation from the truncated (multivariate) normal and student's t-distribution.
5.0
(4)
889 descargas
Actualizado 4 feb 2016

Ver licencia

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

Citar como

Zdravko Botev (2024). 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. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2015b
Compatible con cualquier versión
Compatibilidad con las plataformas
Windows macOS Linux
Categorías
Más información sobre Verification, Validation, and Test en Help Center y MATLAB Answers.
Agradecimientos

Inspirado por: Truncated Normal Generator

Inspiración para: Truncated Normal Generator

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

private/

Versión Publicado Notas de la versión
2.0

- toolbox can now deal with multivariate truncated Student's t-distribution
- updated reference
1.0.0.0