Simulation of truncated normal variables

Statistics and Computing volume 5, pages121–125(1995)Cite this article

Abstract

We provide simulation algorithms for one-sided and two-sided truncated normal distributions. These algorithms are then used to simulate multivariate normal variables with convex restricted parameter space for any covariance structure.

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Author information

Affiliations

  1. URA CNRS 1378, Université de Rouen and CREST, Insee, Paris, France

    Christian P. Robert

Authors
  1. Christian P. Robert
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Robert, C.P. Simulation of truncated normal variables. Stat Comput 5, 121–125 (1995). https://doi.org/10.1007/BF00143942

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Keywords

  • Accept-reject
  • Gibbs sampling
  • Markov chain Monte Carlo
  • censored models
  • order-restricted models