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arXiv · 0907.4010

Simulation of truncated normal variables

Christian P. Robert
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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.

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Christian P. Robert. 2009-07-23. Simulation of truncated normal variables. https://doi.org/10.1007/bf00143942

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