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Sign-truncated normal sampling

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Probability distribution Truncated distribution Truncated normal distribution
2026-10-07  0 By others on same topic  0 Discussions Create my own version
To draw N(μ,1) restricted to a positive value, let a=Φ(−μ) and return μ+Φ−1(a+(1−a)U) for uniform U∈(0,1). For restriction to a negative value use μ+Φ−1(aU). These are inverse transform sampling constructions. Repeatedly drawing an untruncated normal until its sign agrees is also exact, but inefficient for rare signs.

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  • Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 29 / 3 / Solution

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