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Truncated Gaussian

version 1.3.0.0 (3.46 KB) by Bruno Luong
Generate a pseudo-random vector X drawn from the truncated Gaussian distribution

7.6K Downloads

Updated 12 Aug 2010

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% function X = TruncatedGaussian(sigma, range)
% X = TruncatedGaussian(sigma, range, n)

Generate a pseudo-random vector X of size n, X are drawn from the truncated Gaussian distribution in a RANGE braket; and satisfies std(X)=sigma.

RANGE is of the form [left,right] defining the braket where X belongs. For a scalar input RANGE, the braket is [-RANGE,RANGE].

If input SIGMA is negative, X will be forced to have the same "shape" of distribution function than the unbounded Gaussian with standard deviation -SIGMA: N(0,-SIGMA). It is similar to calling RANDN and throw away values ouside RANGE. In this case, the standard deviation of the truncated Gaussian will be different than -SIGMA. The *effective* mean and the effective standard deviation can be obtained by calling:

[X meaneffective sigmaeffective] = TruncatedGaussian(...)

http://en.wikipedia.org/wiki/Truncated_normal_distribution

Cite As

Bruno Luong (2021). Truncated Gaussian (https://www.mathworks.com/matlabcentral/fileexchange/23832-truncated-gaussian), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired: Truncated multivariate normal

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