Truncated Normal and Student's t-distribution toolbox

버전 2.0 (839 KB) 작성자: Zdravko Botev

Perfect simulation from the truncated (multivariate) normal and student's t-distribution.

팔로우

5.0

(4)

다운로드 수: 905

업데이트 날짜: 2016/2/4

라이선스 보기

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

인용 양식

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. 검색됨 2024/7/27.

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개발 환경: R2015b

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버전	게시됨	릴리스 정보
2.0	2016/2/4	- toolbox can now deal with multivariate truncated Student's t-distribution - updated reference	Zip Toolbox
1.0.0.0	2015/11/3		다운로드