Simulation of truncated normal variables
Computation
2009-07-24 v1 Methodology
Abstract
We provide in this paper simulation algorithms for one-sided and two-sided truncated normal distributions. These algorithms are then used to simulate multivariate normal variables with restricted parameter space for any covariance structure.
Cite
@article{arxiv.0907.4010,
title = {Simulation of truncated normal variables},
author = {Christian P. Robert},
journal= {arXiv preprint arXiv:0907.4010},
year = {2009}
}
Comments
This 1992 paper appeared in 1995 in Statistics and Computing and the gist of it is contained in Monte Carlo Statistical Methods (2004), but I receive weekly requests for reprints so here it is!