trandn: Fast truncated normal generator
In TruncatedNormal: Truncated Multivariate Normal and Student Distributions

Description Usage Arguments Details Value Note Author(s) References See Also Examples

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.

1	trandn(l, u)

`l`	lower truncation limit
`u`	upper truncation limit

Suppose we wish to simulate a random variable Z drawn from N(μ,σ^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

random variable drawn from the truncated normal distribution

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

Zdravko I. Botev

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.

norminvp

1 2	trandn(l = 1,u = Inf) trandn(l = rep(1, 10), u = rep(Inf, 10))

Loading required package: randtoolbox
Loading required package: rngWELL
This is randtoolbox. For an overview, type 'help("randtoolbox")'.
[1] 1.057498
 [1] 1.317404 1.481899 1.267103 1.471188 2.326462 1.805832 1.885492 1.489763
 [9] 1.904807 1.464832