Module truncnorm::truncnorm

Rust re-write of Truncated Normal and Student’s t-distribution toolbox

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

Functions

ln_normal_pr

computes $\ln(\Pr(a<Z<b))$ where $Z\sim N(0,1)$ very accurately for any $a,b$

mv_truncnormal_cdf

multivariate normal cumulative distribution

mv_truncnormal_rand

truncated multivariate normal generator

trandn

fast truncated normal generator