[SciPy-User] [SciPy-user] support for truncated normal distribution

Robert Kern robert.kern@gmail....
Tue Mar 15 13:58:04 CDT 2011


On Tue, Mar 15, 2011 at 13:45, Dr. Phillip M. Feldman
<pfeldman@verizon.net> wrote:
>
> I've noticed that there is no truncated normal distribution in NumPy, at
> least according to the following source:
>
> http://docs.scipy.org/doc/numpy/reference/generated/numpy.random.mtrand.RandomState.html,
>
> I've written code to generate random deviates from a truncated normal
> distribution via acceptance-rejection, but this is inefficient when the
> acceptance probability is low. I assume that NumPy is generating standard
> normal deviates via the Ziggurat algorithm. That algorithm can be modified
> to produce random deviates from a truncated normal without the use of
> acceptance-rejection.  I'd be very grateful if someone can implement this.

No, we use the Box-Mueller transform, which is not easily truncated.

-- 
Robert Kern

"I have come to believe that the whole world is an enigma, a harmless
enigma that is made terrible by our own mad attempt to interpret it as
though it had an underlying truth."
  -- Umberto Eco


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